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Investigating Approaches to Modeling Rough Path-Dependent Volatility: Insights and Implications (Presentation Slides)

https://doi.org/10.2139/ssrn.4627236
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/s100510051162openalex-extracted
Symmetry alteration of ensemble return distribution in crash and rally days of financial markets
inferredcites →https://doi.org/10.1016/0304-4076(74)90034-7openalex-extracted
Spurious regressions in econometrics
inferredcites →https://doi.org/10.1023/a:1009803506170openalex-extracted
Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
inferredcites →https://doi.org/10.1080/14697680903266730openalex-extracted
Volatility conditional on price trends
inferredcites →https://doi.org/10.1080/14697688.2017.1393551openalex-extracted
Volatility Is Rough
inferredcites →https://doi.org/10.1080/14697688.2023.2221281openalex-extracted
Volatility Is (Mostly) Path-Dependent
inferredcites →https://doi.org/10.1111/1468-0262.00418openalex-extracted
Modeling and Forecasting Realized Volatility
inferredcites →https://doi.org/10.1111/mafi.12173openalex-extracted
The characteristic function of rough Heston models
inferredcites →https://doi.org/10.1186/s13662-018-1718-4openalex-extracted
Calibration of the exponential Ornstein–Uhlenbeck process when spot prices are visible through the maximum log-likelihood method. Example with gold prices
inferredcites →https://doi.org/10.1214/19-aap1477openalex-extracted
Affine Volterra processes
inferredcites →https://doi.org/10.1214/21-aap1667openalex-extracted
A weak solution theory for stochastic Volterra equations of convolution type
inferredcites →https://doi.org/10.2139/ssrn.267792openalex-extracted
Modeling and Forecasting Realized Volatility
inferredcites →https://doi.org/10.2307/1912791openalex-extracted
Investigating Causal Relations by Econometric Models and Cross-spectral Methods
inferredcites →https://doi.org/10.48550/arxiv.1907.06151openalex-extracted
inferredcites →https://doi.org/10.48550/arxiv.2206.14114openalex-extracted
inferredcites →https://doi.org/10.3934/fmf.2024002openalex-snapshot
On the universality of the volatility formation process: When machine learning and rough volatility agree
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