32 citations · 46 across the 17 of their papers we have counts for
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q-fin.ST2024
Multivariate Rough Volatility
Ranieri Dugo, Giacomo Giorgio, Paolo Pigato
Motivated by empirical evidence from the joint behavior of realized volatility time series, we propose to model the joint dynamics of log-volatilities using a multivariate fraction…
math.PR2024★ 2 cited
The multivariate fractional Ornstein-Uhlenbeck process
Ranieri Dugo, Giacomo Giorgio, Paolo Pigato
Starting from the notion of multivariate fractional Brownian Motion introduced in [F. Lavancier, A. Philippe, and D. Surgailis. Covariance function of vector self-similar processes…
math.ST2024
Estimation of parameters and local times in a discretely observed threshold diffusion model
Sara Mazzonetto, Paolo Pigato
We consider a simple mean reverting diffusion process, with piecewise constant drift and diffusion coefficients, discontinuous at a fixed threshold. We discuss estimation of drift…