4.7 Article

Rough volatility via the Lamperti transform

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DOI: 10.1016/j.cnsns.2023.107582

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Rough volatility; Fractional Ornstein-Uhlenbeck process; Self-similarity; Hurst-Holder exponent

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The study examines the roughness of the log-volatility process by testing the self-similarity of the process using the de-Lampertized realized volatility. The analysis employs a distribution-based estimator, which produces more robust results compared to scaling the individual moments of the process. The findings confirm the roughness of the log-volatility process.
We study the roughness of the log-volatility process by testing the self-similarity of the process obtained by the de-Lampertized realized volatility. The value added of our analysis rests on the application of a distribution-based estimator providing results which are more robust with respect to those deduced by the scaling of the individual moments of the process. Our findings confirm the roughness of the log-volatility process.

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