4 papers · 1 filter
When Frictions are Fractional: Rough Noise in High-Frequency Data
Carsten H. Chong, Thomas Delerue, Guoying Li
The analysis of high-frequency financial data is often impeded by the presence of noise. This article is motivated by intraday return data in which market microstructure noise appe…
Rate-optimal estimation of mixed semimartingales
Carsten H. Chong, Thomas Delerue, Fabian Mies
Consider the sum of a Brownian motion and an independent fractional Brownian motion with Hurst parameter . Even though is not a semimartinga…
Statistical inference for rough volatility: Central limit theorems
Carsten Chong, Marc Hoffmann, Yanghui Liu +2
In recent years, there has been a substantive interest in rough volatility models. In this class of models, the local behavior of stochastic volatility is much more irregular than…
Statistical inference for rough volatility: Minimax Theory
Carsten Chong, Marc Hoffmann, Yanghui Liu +2
Rough volatility models have gained considerable interest in the quantitative finance community in recent years. In this paradigm, the volatility of the asset price is driven by a…