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, Asbjørn Bach, in January 2022, Aalborg University.

Abstract:


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