Extends rough fractional stochastic volatility to a multivariate fOU model with GMM estimation, simulation validation, and empirical analysis of realized volatility series showing correlations and spillover effects.
Zeitschrift f\"ur Wahrscheinlichkeitstheorie und Verwandte Gebiete , volume =
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Strengthens classical scaling limit theorems for correlated random walks to functional convergence in Hölder and rough Hölder topologies.
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Multivariate Rough Volatility
Extends rough fractional stochastic volatility to a multivariate fOU model with GMM estimation, simulation validation, and empirical analysis of realized volatility series showing correlations and spillover effects.
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Functional Scaling Limits of Interpolated Correlated Random Walks in H\"older Topology
Strengthens classical scaling limit theorems for correlated random walks to functional convergence in Hölder and rough Hölder topologies.