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Article Dans Une Revue Finance and Stochastics Année : 2018

The microstructural foundations of leverage effect and rough volatility

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hal-04031224 , version 1 (15-03-2023)

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Omar El Euch, Masaaki Fukasawa, Mathieu Rosenbaum. The microstructural foundations of leverage effect and rough volatility. Finance and Stochastics, 2018, 22 (2), pp.241-280. ⟨10.1007/s00780-018-0360-z⟩. ⟨hal-04031224⟩
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