12 citations · 24 across the 10 of their papers we have counts for
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math.ST2022★ 12 cited
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…
math.ST2022★ 6 cited
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…
math.ST2022★ 6 cited
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…