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math.ST2022
Asymptotically Efficient Estimation of Ergodic Rough Fractional Ornstein-Uhlenbeck Process under Continuous Observations
Kohei Chiba, Tetsuya Takabatake
We consider the problem of asymptotically efficient estimation of drift parameters of the ergodic fractional Ornstein-Uhlenbeck process under continuous observations when the Hurst…
math.ST2019★ 14 cited
Is Volatility Rough ?
Masaaki Fukasawa, Tetsuya Takabatake, Rebecca Westphal
Rough volatility models are continuous time stochastic volatility models where the volatility process is driven by a fractional Brownian motion with the Hurst parameter smaller tha…