2 citations · 2 across the 2 of their papers we have counts for
2 papers
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…
math.PR2024★ 2 cited
The multivariate fractional Ornstein-Uhlenbeck process
Ranieri Dugo, Giacomo Giorgio, Paolo Pigato
Starting from the notion of multivariate fractional Brownian Motion introduced in [F. Lavancier, A. Philippe, and D. Surgailis. Covariance function of vector self-similar processes…