The microstructural foundations of leverage effect and rough volatility
Work
Year: 2018
Type: article
Source: Finance and Stochastics
Institutions École Polytechnique, Osaka University
Cites: 69
Cited by: 122
Related to: 10
FWCI: 16.74
Citation percentile (by year/subfield): 99.99
Subfield: Finance
Domain: Social Sciences
Open Access status: green