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.
Statistical inference for rough volatility: Central limit theorems.The Annals of Applied Probability, 34(3):2600–2649
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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.