MDS screens assets using Fréchet variation dependence on weighted point-curve objects of returns and intraday risk, then applies standard allocation, with claimed consistency guarantees and better out-of-sample performance on Chinese high-frequency stock data.
Econometrica , volume=
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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.
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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.