On the Universality of the Volatility Formation Process: when Machine Learning and Rough Volatility Agree
Matheu Rosenbaum (Ecole Polytechnique, France)
- Erasmus Econometric Institute Series
Matheu Rosenbaum (Ecole Polytechnique, France)
Caio Almeida (Princeton University, United States)
Bruno Ferman (Sao Paulo School of Economics, Brazil)
Jesper Bang Mikkelsen (Aarhus Universitet, Denmark)