A new pathwise estimator for the roughness exponent of fractional Brownian motion-based volatility converges strongly for fBM paths and applies to rough volatility models like rough Bergomi.
A limit theorem for Bernoulli convolutions and the ϕ-variation of functions in the Takagi class.Journal of Theoretical Probability, 35(4):2853– 2878
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Estimating the roughness exponent of stochastic volatility from discrete observations of the integrated variance
A new pathwise estimator for the roughness exponent of fractional Brownian motion-based volatility converges strongly for fBM paths and applies to rough volatility models like rough Bergomi.