Multivariate Rough Volatility
The article introduces a multivariate version of the Rough Fractional Stochastic Volatility model for analyzing logvolatilities, providing an estimator and confirming its theory through simulation.
Featured in No. 80 on 1 Jan 2025 · 12 days after release · 4 citations today
- Released
- 20 Dec 2024
- First featured
- No. 80 · 1 Jan 2025
- Citations (Semantic Scholar)
- 4
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 12
- Identifier
- SSRN 5065415
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).