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)
Nazarii Salish (Universidad Carlos III de Madrid, Spain)
Victor Chernozhukov (MIT, United States)
Robert Miller (Carnegie Mellon University, United States)
Andrea Vedolin (Boston University, United States)
Nicola Gnecco (University of Copenhagen, Denmark)