Extends rough fractional stochastic volatility to a multivariate fOU model with GMM estimation, simulation validation, and empirical analysis of realized volatility series showing correlations and spillover effects.
Log-Modulated Rough Stochastic Volatility Models
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Multivariate Rough Volatility
Extends rough fractional stochastic volatility to a multivariate fOU model with GMM estimation, simulation validation, and empirical analysis of realized volatility series showing correlations and spillover effects.