63 citations · 75 across the 12 of their papers we have counts for
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q-fin.ST2025
On the rate of convergence of estimating the Hurst parameter of rough stochastic volatility models
Xiyue Han, Alexander Schied
In [Han \& Schied, 2023, \textit{arXiv 2307.02582}], an easily computable scale-invariant estimator was constructed to estimate the Hurst parameter of t…
q-fin.ST2023
Estimating the roughness exponent of stochastic volatility from discrete observations of the integrated variance
Xiyue Han, Alexander Schied
We consider the problem of estimating the roughness of the volatility process in a stochastic volatility model that arises as a nonlinear function of fractional Brownian motion wit…