The microstructural foundations of leverage effect and rough volatility

Summary

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Authors: Omar El Euch, Masaaki Fukasawa, Mathieu Rosenbaum

Journal title: Finance and Stochastics

Journal number: 22/2

Journal publisher: Springer Verlag

Published year: 2018

Published pages: 241-280

DOI identifier: 10.1007/s00780-018-0360-z

ISSN: 0949-2984