112 citations · 147 across the 20 of their papers we have counts for
Showing 2016Show all
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q-fin.ST2016
Decoupling the short- and long-term behavior of stochastic volatility
Mikkel Bennedsen, Asger Lunde, Mikko S. Pakkanen
We introduce a new class of continuous-time models of the stochastic volatility of asset prices. The models can simultaneously incorporate roughness and slowly decaying autocorrela…
math.ST2016★ 7 cited
Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data
Mikkel Bennedsen
We study a well-known estimator of the fractal index of a stochastic process. Our framework is very general and encompasses many models of interest; we show how to extend the theor…
math.ST2016★ 4 cited
The Local Fractional Bootstrap
Mikkel Bennedsen, Ulrich Hounyo, Asger Lunde +1
We introduce a bootstrap procedure for high-frequency statistics of Brownian semistationary processes. More specifically, we focus on a hypothesis test on the roughness of sample p…