112 citations · 479 across the 30 of their papers we have counts for
4 papers · 1 filter
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…
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…
Arbitrage without borrowing or short selling?
Jani Lukkarinen, Mikko S. Pakkanen
We show that a trader, who starts with no initial wealth and is not allowed to borrow money or short sell assets, is theoretically able to attain positive wealth by continuous trad…
On the conditional small ball property of multivariate Lévy-driven moving average processes
Mikko S. Pakkanen, Tommi Sottinen, Adil Yazigi
We study whether a multivariate Lévy-driven moving average process can shadow arbitrarily closely any continuous path, starting from the present value of the process, with positive…