A new pathwise estimator for the roughness exponent of fractional Brownian motion-based volatility converges strongly for fBM paths and applies to rough volatility models like rough Bergomi.
The Riemann–Liouville field and its GMC as H → 0, and skew flattening for the rough Bergomi model
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Estimating the roughness exponent of stochastic volatility from discrete observations of the integrated variance
A new pathwise estimator for the roughness exponent of fractional Brownian motion-based volatility converges strongly for fBM paths and applies to rough volatility models like rough Bergomi.