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Volatility Is (Mostly) Path-Dependent · Study

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ArticleVolatility Is (Mostly) Path-Dependent

Julien Guyon2022

OA

Articlegreen2022

Volatility Is (Mostly) Path-Dependent

Julien Guyon · Jordan Lekeufack

78 citations·0/0 files stored·Quantitative Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity 2018Volatility Is Rough 1998Long memory in continuous‐time stochastic volatility models 1998The detection and estimation of long memory in stochastic volatility 1995Quadratic ARCH Models 1998Complete Models with Stochastic Volatility

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2004LARCH, Leverage, and Long Memoryarticle · 6 shared references 2005Volatility Transmission Models: A Surveypreprint · 6 shared references 2010Parametric and Nonparametric Volatility Measurementchapter · 5 shared references 2006Chapter 15 Volatility and Correlation Forecastingchapter · 5 shared references 2013A comprehensive review of Value at Risk methodologiesarticle · 5 shared references 2005Volatility Forecastingreport · 5 shared references

Details

Year2022

Typearticle

Published2022-01-01

VenueQuantitative Finance

ISSN-L1469-7688

Languageen

Citations78

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1080/14697688.2023.2221281

openalex_workW4384818182

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