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Estimating volatility from recent high frequency data, we revisit the question of the smoothness of the volatility process.
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A closed-form solution for options with stochastic volatility with applications to bond and currency options
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Linear estimation of self-similar processes via Lamperti’s transformation
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T. G. Andersen, T. Bollerslev, F. X. Diebold, and H. Ebens · 2001
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The distribution of realized exchange rate volatility
T. G. Andersen, T. Bollerslev, F. X. Diebold, and P. Labys · 2001
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P. S. Hagan, D. Kumar, A. S. Lesniewski, and D. E. Woodward · 2002
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T. G. Andersen, T. Bollerslev, F. X. Diebold, and P. Labys · 2003
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Log-infinitely divisible multifractal processes
E. Bacry and J. F. Muzy · 2003
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Theory of financial risk and derivative pricing: From statistical physics to risk management
J.-P. Bouchaud and M. Potters · 2003
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What type of process underlies options? A simple robust test
P. Carr and L. Wu · 2003
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Fractional Ornstein-Uhlenbeck processes
P. Cheridito, H. Kawaguchi, and M. Maejima · 2003
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Persistence of volatility in futures markets
Z. Chen, R. T. Daigler, and A. M. Parhizgari · 2006
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The volatility surface: A practitioner’s guide
J. Gatheral · 2006
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A new approach for the dynamics of ultra-high-frequency data: The model with uncertainty zones
C. Y. Robert and M. Rosenbaum · 2011
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A new microstructure noise index
M. Rosenbaum · 2011
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Estimation and pricing under long-memory stochastic volatility
A. Chronopoulou and F. G. Viens · 2012
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Affine fractional stochastic volatility models
F. Comte, L. Coutin, and E. Renault · 2012
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Forecasting volatility with the multifractal random walk model
J. Duchon, R. Robert, and V. Vargas · 2012
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Quantifying reflexivity in financial markets: Toward a prediction of flash crashes
V. Filimonov and D. Sornette · 2012
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R. Cont · 2007
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M. Rosenbaum · 2008
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A simple approximate long-memory model of realized volatility
F. Corsi · 2009
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First order p-variations and Besov spaces
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Zero-intelligence realized variance estimation
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Large tick assets: Implicit spread and optimal tick size
K. Dayri and M. Rosenbaum · 2013
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V. Filimonov and D. Sornette · 2013
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Critical reflexivity in financial markets: A Hawkes process analysis
S. J. Hardiman, N. Bercot, and J.-P. Bouchaud · 2013
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Limit theorems for nearly unstable Hawkes processes
T. Jaisson and M. Rosenbaum · 2013
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Hawkes model for price and trades high-frequency dynamics
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Arbitrage-free SVI volatility surfaces
J. Gatheral and A. Jacquier · 2014
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Fractional diffusions as scaling limits of nearly unstable heavy-tailed Hawkes processes
T. Jaisson and M. Rosenbaum · 2014
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Statistically significant fits of Hawkes processes to financial data
M. Lallouache and D. Challet · 2014
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