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Ranieri Dugo

University of Rome Tor Vergata - Department of Economics and Finance

SCHOLARLY PAPERS

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Scholarly Papers (2)

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1.

Multivariate Rough Volatility

CEIS Working Paper No. 589
Number of pages: 35 Posted: 20 Dec 2024
Ranieri Dugo, Giacomo Giorgio and Paolo Pigato
University of Rome Tor Vergata - Department of Economics and Finance, University of Tor Vergata and University of Rome Tor Vergata - Department of Economics and Finance
Downloads 145 (518,102)

Abstract:

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stochastic volatility, rough volatility, realized volatility, multivariate time series, volatility spillovers

2.

The Multivariate Fractional Ornstein-Uhlenbeck Process

CEIS Research paper No 581
Number of pages: 41 Posted: 28 Aug 2024
Ranieri Dugo, Giacomo Giorgio and Paolo Pigato
University of Rome Tor Vergata - Department of Economics and Finance, University of Tor Vergata and University of Rome Tor Vergata - Department of Economics and Finance
Downloads 74 (860,052)

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Fractional process, multivariate process, ergodic process, long-range dependence, cross-correlation, parameters inference, rough volatility