Long versus short time scales : the rough dilemma and beyond
Year of publication: |
2022
|
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Authors: | Garcin, Matthieu ; Grasselli, Martino |
Published in: |
Decisions in economics and finance : a journal of applied mathematics. - Milano : Springer Italia, ISSN 1129-6569, ZDB-ID 2023516-1. - Vol. 45.2022, 1, p. 257-278
|
Subject: | Fractional Brownian motion | Intra-day data | Realized variance | Rough volatility | Time series | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Stochastischer Prozess | Stochastic process |
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