Multiscaling and rough volatility : an empirical investigation
Year of publication: |
2022
|
---|---|
Authors: | Brandi, Giuseppe ; Di Matteo, Tiziana |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 84.2022, p. 1-11
|
Subject: | Multiscaling | Robust correlation | Rough volatility | Time series | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Korrelation | Correlation | Börsenkurs | Share price |
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