论文标题
长期与短时间尺度：粗糙的困境及以后
Long vs Short Time Scales: the Rough Dilemma and Beyond
论文作者
论文摘要
使用大型数据集对主要的FX速率，我们通过在分析中包括平滑和测量误差来测试不同时间尺度上粗糙分数波动率模型的鲁棒性。我们的发现导致在第二瞬间的对数gog图中的新风格化事实相对于滞后的差异增量，除了波动率的粗糙度和平稳性外，还表现出了一些凸度。在小尺度上，非常低的HURST指数与粗糙框架一致，而较大尺度的较高感知的Hurst指数导致对数字gog图的非线性行为，而迄今为止尚未引入模型。
Using a large dataset on major FX rates, we test the robustness of the rough fractional volatility model over different time scales, by including smoothing and measurement errors into the analysis. Our findings lead to new stylized facts in the log-log plots of the second moments of realized variance increments against lag which exhibit some convexity in addition to the roughness and stationarity of the volatility. The very low perceived Hurst exponents at small scales is consistent with the rough framework, while the higher perceived Hurst exponents for larger scales leads to a nonlinear behavior of the log-log plot that has not been described by models introduced so far.
