Volatility tail risk under fractionality
Year of publication: |
2019
|
---|---|
Authors: | Morelli, Giacomo ; Santucci de Magistris, Paolo |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 108.2019, p. 1-9
|
Subject: | Fractional Ornstein-Uhlenbeck | Rough volatility | Supremum | VIX | VolaR | Volatilität | Volatility | Börsenkurs | Share price | Risikomaß | Risk measure | ARCH-Modell | ARCH model |
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