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)
Jan Kabatek (University of Melbourne, Australia)
Christian Traxler (Hertie School, Germany)
Cem Peker
Otto Swank
Dan Schley (Erasmus University Rotterdam)
Pia Pinger (University of Cologne, Germany)
Megan Haasbroek
Vera Zabrodina (University of Basel, Zwitserland)
Thomas Cornelissen (University of Essex, United Kingdom)
Victor Gonzalez-Jimenez
Caio Almeida (Princeton University, United States)
Renske Stans
Gabriel Zucman (UC Berkley, United States and Paris School of Economics, France)
Elisabeth Leduc (Erasmus University Rotterdam)
Bruno Ferman (Sao Paulo School of Economics, Brazil)
Antoine Ferey (Ludwig Maximilian University of Munich, Germany)
Ming Li (Concordia University, Canada)