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.
Representation formulae for the fractional Brownian motion.S´ eminaire de probabilit´ es XLIII, pages 3–70
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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.