Exploring long range dependence and roughness of the sample path in the volatility of interest rate forward swaps

Additional Metadata
Keywords	volatility forecasting; interest rate forward swaps; HAR; roughness of the sample path; fractional Ornstein-Uhlenbeck process
Thesis Advisor	Opschoor, PA
Persistent URL	hdl.handle.net/2105/71217
Series	Econometrie
Organisation	Erasmus School of Economics
Citation APA Style AAA Style APA Style Cell Style Chicago Style Harvard Style IEEE Style MLA Style Nature Style Vancouver Style American-Institute-of-Physics Style Council-of-Science-Editors Style BibTex Format Endnote Format RIS Format CSL Format DOIs only Format	Dekker, P.S. (2024, February 27). Exploring long range dependence and roughness of the sample path in the volatility of interest rate forward swaps. Econometrie. Retrieved from http://hdl.handle.net/2105/71217

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