The microstructural foundations of leverage effect and rough volatility
El Euch, Omar, Fukasawa, Masaaki, Rosenbaum, MathieuVolume:
22
Language:
english
Journal:
Finance and Stochastics
DOI:
10.1007/s00780-018-0360-z
Date:
April, 2018
File:
PDF, 994 KB
english, 2018