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Rough Volatility: Fact or Artefact?
16 references·0 citing·42 second hop
Rough Volatility: Fact or Artefact? (2024)Rough Volatility: Fact or Artefact?Estimating Spot Volatility with High-Frequency Financial Data (2022)Estimating Spot Volatility wi…Volatility Is Rough (2018)Volatility Is RoughNonparametric tests for pathwise properties of semimartingales (2011)Nonparametric tests for pathw…Discretization of Processes (2011)Discretization of ProcessesLong Memory in Volatility and Trading Volume (2010)Long Memory in Volatility and…Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps (2009)Estimation of volatility func…Long range dependence in financial markets (2005)Long range dependence in fina…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…Stock market prices and long-range dependence (1999)Stock market prices and long-…The detection and estimation of long memory in stochastic volatility (1998)The detection and estimation …Long memory in continuous‐time stochastic volatility models (1998)Long memory in continuous‐tim…Arbitrage with Fractional Brownian Motion (1997)Arbitrage with Fractional Bro…Modeling and pricing long memory in stock market volatility (1996)Modeling and pricing long mem…Long memory processes and fractional integration in econometrics (1996)Long memory processes and fra…Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …Stochastic Differential Equations and Diffusion Processes (1983)The Distribution of Exchange Rate Volatility (1999)Stochastic Calculus for Fractional Brownian Motion I. Theory (2000)FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE (2003)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Distribution of Stock Return Volatility (2000)A multiple indicators model for volatility using intra-daily data (2005)Parametric and Nonparametric Volatility Measurement (2010)The Pricing of Options and Corporate Liabilities (1973)Modeling and Forecasting Realized Volatility (2001)Time-changed Lévy processes and option pricing (2003)Brownian Motion and Stochastic Calculus (2007)The Typical Spectral Shape of an Economic Variable (1966)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Empirical properties of asset returns: stylized facts and statistical issues (2001)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Long memory and regime switching (2001)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Why Does Stock Market Volatility Change Over Time? (1989)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Expected Stock Returns and Variance Risk Premia (2009)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Pricing under rough volatility (2015)The microstructural foundations of leverage effect and rough volatility (2018)The characteristic function of rough Heston models (2019)Coherent Measures of Risk (1999)The Cross‐Section of Volatility and Expected Returns (2006)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)5 Stochastic volatility (1996)Forecasting Volatility in Financial Markets: A Review (2003)Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance (2018)Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns (2016)Principal Component Analysis of High-Frequency Data (2017)Using principal component analysis to estimate a high dimensional factor model with high-frequency data (2017)
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  • 2022

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Estimating Spot Volatility with High-Frequency Financial Data
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