most citedThe microstructural foundations of leverage effect and rough volatility

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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…