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.
Granger and Robert F
2 Pith papers cite this work. Polarity classification is still indexing.
2
Pith papers citing it
verdicts
UNVERDICTED 2representative citing papers
Wealth tax neutrality holds under stochastic volatility and Epstein-Zin utility but fails for HARA preferences, while real taxes introduce distortions through non-uniform assessment, price effects, progressive thresholds that boost risk-taking near boundaries, and labor supply responses.
citing papers explorer
-
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.
-
Extensions to the Wealth Tax Neutrality Framework
Wealth tax neutrality holds under stochastic volatility and Epstein-Zin utility but fails for HARA preferences, while real taxes introduce distortions through non-uniform assessment, price effects, progressive thresholds that boost risk-taking near boundaries, and labor supply responses.