The microstructural foundations of leverage effect and rough volatility
Crossref DOI link: https://doi.org/10.1007/s00780-018-0360-z
Published Online: 2018-03-15
Published Print: 2018-04
Update policy: https://doi.org/10.1007/springer_crossmark_policy
El Euch, Omar
Fukasawa, Masaaki
Rosenbaum, Mathieu
Text and Data Mining valid from 2018-03-15
Article History
Received: 18 January 2017
Accepted: 13 December 2017
First Online: 15 March 2018