Joint modelling of S&P500 and VIX indices with rough fractional Ornstein-Uhlenbeck volatility model
Ömer Önalan
| Year of publication: |
2022
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|---|---|
| Authors: | Önalan, Ömer |
| Published in: |
Romanian journal of economic forecasting. - Bucharest : Inst., ISSN 2537-6071, ZDB-ID 2428295-9. - Vol. 25.2022, 1, p. 68-84
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| Subject: | rough volatility | fractional Ornstein-Uhlenbeck process | volatility estimation | rBergomi model | S&P500 price model | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis | Optionspreistheorie | Option pricing theory | Schätzung | Estimation | ARCH-Modell | ARCH model | Börsenkurs | Share price | Mean Reversion | Mean reversion |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013411688