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)
Pierre Picard (University of Luxemburg)
Jan Kabatek (University of Melbourne, Australia)
Viola Angelini (University of Groningen)
Christian Traxler (Hertie School, Germany)
Bart Keijsers
Roʿi Zultan (Ben-Gurion University of the Negev, Israel)
Cem Peker
Otto Swank
Miguel Ferreira (Nova School of Business and Economics, Portugal)
Dan Schley (Erasmus University Rotterdam)
Luigi Minale (Universidad Carlos III, Spain)
Hanbaek Lee
Pia Pinger (University of Cologne, Germany)
Liyang Sun (Cemfi, Spain)
Jasmine Xiao (University of Notre Dame, United States)
Anujit Chakraborty (University of California, Davis)
Megan Haasbroek