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Validation of a GMM Approach to Estimate Parameters in a Rough Volatility Setting in the Presence of Microstructure Noise - PhDData

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Validation of a GMM Approach to Estimate Parameters in a Rough Volatility Setting in the Presence of Microstructure Noise

The thesis was published by Andreassen, Asbjรธrn Bach, in January 2022, Aalborg University.

Abstract:

The full thesis can be downloaded at :
https://vbn.aau.dk/ws/files/473886120/P10_f22_MATOK_FIN.pdf

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