Rough Volatility: Fact or Artefact?

Rama Cont and Purba Das ()
Additional contact information
Rama Cont: University of Oxford
Purba Das: King’s College London

Sankhya B: The Indian Journal of Statistics, 2024, vol. 86, issue 1, No 8, 223 pages

Abstract: Abstract We investigate the statistical evidence for the use of ‘rough’ fractional processes with Hurst exponent $$H

Keywords: Roughness; variation index; p-th variation; realized volatility; instantaneous volatility; fractional Brownian motion; hurst exponent; high-frequency data; Primary 60L90; 62P05; Secondary 60G22; 62G10; 62M07 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s13571-024-00322-2 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sankhb:v:86:y:2024:i:1:d:10.1007_s13571-024-00322-2

Ordering information: This journal article can be ordered from
http://www.springer.com/statistics/journal/13571

DOI: 10.1007/s13571-024-00322-2

Access Statistics for this article

Sankhya B: The Indian Journal of Statistics is currently edited by Dipak Dey

More articles in Sankhya B: The Indian Journal of Statistics from Springer, Indian Statistical Institute
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().