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Published in 2019 at "Journal of Futures Markets"
DOI: 10.1002/fut.21995
Abstract: Using high‐frequency data for major volatility indexes, we compute the volatility of volatility and show that its logarithm follows a fractional Brownian motion with Hurst parameter smaller than 1/2 thereby extending to the volatility asset…
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Keywords:
volatility volatility;
volatility also;
also rough;
volatility ... See more keywords