Detecting rough volatility: a filtering approach

Camilla Damian and Rüdiger Frey

Quantitative Finance, 2024, vol. 24, issue 10, 1493-1508

Abstract: In this paper, we focus on filtering and parameter estimation in stochastic volatility models when observations arise from high-frequency data. We are particularly interested in rough volatility models where spot volatility is driven by fractional Brownian motion with Hurst index $ H

Date: 2024
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DOI: 10.1080/14697688.2024.2399284

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