Statistical inference for rough volatility: Central limit theorems

Statistical inference for rough volatility: Central limit theorems

3 October 2022

Carsten H. Chong

Grégoire Szymanski

Papers citing "Statistical inference for rough volatility: Central limit theorems"

9 / 9 papers shown

Title
Probabilistic models and statistics for electronic financial markets in the digital age Markus Bibinger 30 0 0 11 Jun 2024
$Power variations and limit theorems for stochastic processes controlled by fractional Brownian motions$ Power variations and limit theorems for stochastic processes controlled by fractional Brownian motions Yanghui Liu Xiaohua Wang 23 2 0 07 Sep 2023
Estimating the roughness exponent of stochastic volatility from discrete observations of the realized variance Xiyue Han A. Schied 16 4 0 05 Jul 2023
$Testing for jumps in processes with integral fractional part and jump-robust inference on the Hurst exponent$ Testing for jumps in processes with integral fractional part and jump-robust inference on the Hurst exponent M. Bibinger Michael Sonntag 23 0 0 02 May 2023
$Pre-averaging fractional processes contaminated by noise, with an application to turbulence$ Pre-averaging fractional processes contaminated by noise, with an application to turbulence David Chen Yu Cheng Carsten H. Chong Pierre Gentine Wangdong Jia Bryce Monier Shi-Chen Shen 28 1 0 01 Dec 2022
Statistical inference for rough volatility: Minimax Theory Carsten H. Chong M. Hoffmann Yanghui Liu M. Rosenbaum Grégoire Szymanski 32 12 0 03 Oct 2022
Rate-optimal estimation of mixed semimartingales Carsten H. Chong T. Delerue Fabian Mies 23 5 0 21 Jul 2022
Optimal estimation of the rough Hurst parameter in additive noise Grégoire Szymanski 26 6 0 25 May 2022
When Frictions are Fractional: Rough Noise in High-Frequency Data Carsten H. Chong T. Delerue Guoying Li 32 6 0 30 Jun 2021