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"The microstructural foundations of leverage effect and rough volatility."

Omar El Euch, Masaaki Fukasawa, Mathieu Rosenbaum (2018)

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DOI: 10.1007/S00780-018-0360-Z

access: closed

type: Journal Article

metadata version: 2020-07-22

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  dblp key:
  - journals/fs/EuchFR18
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  - https://dblp.org/rec/journals/fs/EuchFR18
Omar El Euch, Masaaki Fukasawa, Mathieu Rosenbaum:
The microstructural foundations of leverage effect and rough volatility. Finance Stochastics 22(2): 241-280 (2018)

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