On the Universality of the Volatility Formation Process: when Machine Learning and Rough Volatility Agree
Matheu Rosenbaum (Ecole Polytechnique, France)
- Erasmus Econometric Institute Series
Matheu Rosenbaum (Ecole Polytechnique, France)
Caio Almeida (Princeton University, United States)
Bruno Ferman (Sao Paulo School of Economics, Brazil)
Jesper Bang Mikkelsen (Aarhus Universitet, Denmark)
Stéphane Bonhomme (The University of Chicago, United States)
Luuk van Maasakkers
Warren B. Powel (Princeton University, United States)
Daniel Wilhelm (University College London, United Kingdom)
Jasper Bos (University of Twente)
Cisil Sarisoy Linke (Federal Reserve Bank, United States)
PhD Students
Dumitrescu Elena Ivona (Université Paris Nanterre, France)
James Hamilton (University of California San Diego, United States)
Amos Golan (American University, United States)
Andreas Dzemski (Gothenburg University, Denmark)
Remy Spliet (Erasmus University Rotterdam)
Matthijs van Zon, Erasmus University Rotterdam)
Chris Muris (Bristol University, United Kingdom)