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Volatility is rough
Gatheral, Jim; Jaisson, Thibault; Rosenbaum, Mathieu - In: Quantitative finance 18 (2018) 6, pp. 933-949
Persistent link: https://www.econbiz.de/10011910932
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The Zumbach effect under rough Heston
El Euch, Omar; Gatheral, Jim; Radoičić, Radoš; … - In: Quantitative finance 20 (2020) 2, pp. 235-241
Persistent link: https://www.econbiz.de/10012194863
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Estimation of the volatility persistence in a discretly observed diffusion model
Rosenbaum, Mathieu - 2006
Persistent link: https://www.econbiz.de/10003342570
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Weak dependence beyond mixing for infinite ARCH-type bilinear models
Doukhan, Paul; Madre, Hélène; Rosenbaum, Mathieu - 2005
Persistent link: https://www.econbiz.de/10003334735
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Testing the local volatility assumption : a statistical approach
Podolskij, Mark; Rosenbaum, Mathieu - 2011
Persistent link: https://www.econbiz.de/10008807427
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Testing the local volatility assumption : a statistical approach
Podolskij, Mark; Rosenbaum, Mathieu - In: Annals of finance 8 (2012) 1, pp. 31-48
Persistent link: https://www.econbiz.de/10009510584
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Volatility and covariation estimation when microstructure noise and trading times are endogenous
Robert, Christian Yann; Rosenbaum, Mathieu - In: Mathematical finance : an international journal of … 22 (2012) 1, pp. 133-164
Persistent link: https://www.econbiz.de/10009554688
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Market microstructure : confronting many viewpoints
Abergel, Frédéric (ed.);  … - 2012
Persistent link: https://www.econbiz.de/10009524952
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Linear and conic programming estimators in high-dimensional errors-in-variables models
Belloni, Alexandre; Rosenbaum, Mathieu; Cybakov, … - 2014
Persistent link: https://www.econbiz.de/10010465161
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Understanding the stakes of high-frequency trading
Abergel, Frédéric; Lehalle, Charles-Albert; … - In: The journal of trading 9 (2014) 4, pp. 49-73
Persistent link: https://www.econbiz.de/10011291063