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)
Bart Keijsers
Miguel Ferreira (Nova School of Business and Economics, Portugal)
Dan Schley (Erasmus University Rotterdam)
Liyang Sun (Cemfi, Spain)
Bart Keijsers (University of Amsterdam)
Caio Almeida (Princeton University, United States)
Michal Kolesár (Princeton University, United States)
Ernst Maug (University of Mannheim, Germany)
Jules Depersin (University of Amsterdam)
Bruno Ferman (Sao Paulo School of Economics, Brazil)
Fabio Canova (BI Norwegian Business School, Norway)
Paula Jarzabkowski (University of Queensland Business School, Australia and Bayes Business School, United Kingdom)
Erwan Scornet (Ecole Polytechnique, France)
Yuliya Snihur (Toulouse Business School, France)
Jonas Meijer (University of Amsterdam)
Jeroen Dalderop (University of Notre Dame, United States)
Jesper Bang Mikkelsen (Aarhus Universitet, Denmark)
Steef Peters (CEO and founder at wallet79) and Ben Meylahn (University of Amsterdam)
Stefan Avdjiev (Bank for International Settlements, Switzerland)