12 citations · 24 across the 10 of their papers we have counts for
5 papers · 1 filter
Estimation of the invariant measure of a multidimensional diffusion from noisy observations
Raphaël Maillet, Grégoire Szymanski
We introduce a new approach for estimating the invariant density of a multidimensional diffusion when dealing with high-frequency observations blurred by independent noise. We cons…
Asymptotic Efficiency for Fractional Brownian Motion with general noise
Grégoire Szymanski, Tetsuya Takabatake
We investigate the Local Asymptotic Property for fractional Brownian models based on discrete observations contaminated by a Gaussian moving average process. We consider both situa…
Statistical inference for rough volatility: Central limit theorems
Carsten Chong, Marc Hoffmann, Yanghui Liu +2
In recent years, there has been a substantive interest in rough volatility models. In this class of models, the local behavior of stochastic volatility is much more irregular than…
Statistical inference for rough volatility: Minimax Theory
Carsten Chong, Marc Hoffmann, Yanghui Liu +2
Rough volatility models have gained considerable interest in the quantitative finance community in recent years. In this paradigm, the volatility of the asset price is driven by a…
Optimal estimation of the rough Hurst parameter in additive noise
Grégoire Szymanski
We estimate the Hurst parameter of a fractional Brownian motion from discrete noisy data, observed along a high frequency sampling scheme. When the intensity of…