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)
Claudia Noack (University of Oxford, United Kingdom)
Claudia Noack (University of Oxford, United Kingdom)
Nicolas Schreuder (University of Genoa, Italy)
Nazarii Salish (Universidad Carlos III de Madrid, Spain)
Victor Chernozhukov (MIT, United States)
Clement De Chaisemartin (SciencesPo, France and University of California at Santa Barbara (UCSB), currently on leave))
Denni Tommasi (University of Bologna, Italy)
Robert Miller (Carnegie Mellon University, United States)
Andrea Vedolin (Boston University, United States)
Nicola Gnecco (University of Copenhagen, Denmark)