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Estimating stochastic volatility: the rough side to equity returns |
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| Authors: | Haynes Jonathan Schmitt Daniel Grimm Lukas |
| Institution: | 1.Barcelona Graduate School of Economics, Barcelona, Spain ;2.Oxera Consulting LLP, Oxford, UK ; |
| Abstract: | Decisions in Economics and Finance - This paper evaluates the forecasting performance of a Brownian semi-stationary (BSS) process in modelling the volatility of 21 equity indices. We implement a... |
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