4 citations · 4 across the 3 of their papers we have counts for
3 papers
q-fin.CP2023
Detecting Rough Volatility: A Filtering Approach
Camilla Damian, Rüdiger Frey
In this paper, we focus on the estimation of historical volatility of asset prices from high-frequency data. Stochastic volatility models pose a major statistical challenge: since…
physics.soc-ph2022
A filtering approach for statistical inference in a stochastic SIR model with an application to Covid-19 data
Katia Colaneri, Camilla Damian, Rüdiger Frey
In this paper, we consider a discrete-time stochastic SIR model, where the transmission rate and the true number of infectious individuals are random and unobservable. An advantage…
q-fin.PR2020★ 4 cited
How Safe are European Safe Bonds? An Analysis from the Perspective of Modern Portfolio Credit Risk Models
Rüdiger Frey, Kevin Kurt, Camilla Damian
Several proposals for the reform of the euro area advocate the creation of a market in synthetic securities backed by portfolios of sovereign bonds. Most debated are the so-called…