8 citations · 8 across the 2 of their papers we have counts for
2 papers
math.ST2020
Malliavin calculus techniques for local asymptotic mixed normality and their application to degenerate diffusions
Masaaki Fukasawa, Teppei Ogihara
We study sufficient conditions for a local asymptotic mixed normality property of statistical models. We develop a scheme with the regularity condition proposed by Jeganathan…
q-fin.TR2016★ 8 cited
The microstructural foundations of leverage effect and rough volatility
El Euch Omar, Fukasawa Masaaki, Rosenbaum Mathieu
We show that typical behaviors of market participants at the high frequency scale generate leverage effect and rough volatility. To do so, we build a simple microscopic model for t…