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Rough Volatility: Fact or Artefact?
Rama Cont,
Purba Das
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Corresponding author for this work
Mathematics
Financial Mathematics
University of Oxford
Department of Mathematics
King's College London
Research output
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Article
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peer-review
6
Citations (Scopus)
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Mathematics
Hurst-Exponent
100%
Sample Path
66%
Sequences
33%
Parametric
33%
Fractional Brownian Motion
33%
Stochastic Volatility Model
33%
Stochastic Process
33%
Hurst Index
33%
Statistical Evidence
33%