2 papers
econ.EM2026
The "Rough" HAR Model
Mikkel Bennedsen, Kim Christensen, Peter Korsbakke Christensen +2
This paper proposes discrete-time approximations to rough continuous-time models of realized variance (RV). The leading rough models can be viewed as autoregressive processes drive…
econ.EM2026
Microstructural Foundations of Rough Noise
Peter Korsbakke Christensen, Anders Norlyk
Recently, it has been proposed to model the microstructure noise in prices by a continuous-time process with continuous sample paths that are rougher than those of a standard Brown…