When Volatility Travels: Mapping Global Spillovers with Rough Multivariate Models
Most volatility models live in a one-dimensional world. They chart the ups and downs of a single market’s risk, ignoring the complex web of connections across global exchanges. But in practice, volatility is a frequent flyer — shocks in New York can ripple into London, Frankfurt, and beyond within hours. The paper Multivariate Rough Volatility takes a decisive step toward modelling this interconnected reality. ...