32 citations · 46 across the 17 of their papers we have counts for
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q-fin.ST2024
Multivariate Rough Volatility
Ranieri Dugo, Giacomo Giorgio, Paolo Pigato
Motivated by empirical evidence from the joint behavior of realized volatility time series, we propose to model the joint dynamics of log-volatilities using a multivariate fraction…
q-fin.ST2014★ 2 cited
A multivariate model for financial indices and an algorithm for detection of jumps in the volatility
Mario Bonino, Matteo Camelia, Paolo Pigato
We consider a mean-reverting stochastic volatility model which satisfies some relevant stylized facts of financial markets. We introduce an algorithm for the detection of peaks in…