67 citations · 128 across the 35 of their papers we have counts for
7 papers · 1 filter
Volatility of volatility estimation: central limit theorems for the Fourier transform estimator and empirical study of the daily time series stylized facts
Giacomo Toscano, Giulia Livieri, Maria Elvira Mancino +1
We study the asymptotic normality of two feasible estimators of the integrated volatility of volatility based on the Fourier methodology, which does not require the pre-estimation…
A convergence criterion for the unstable manifolds of the MacKay approximate renormalisation
Seul Bee Lee, Stefano Marmi, Tanja I. Schindler
We give an explicit arithmetical condition which guarantees the existence of the unstable manifold of the MacKay approximate renormalisation scheme for the breakup of invariant tor…
The Brjuno functions of the by-excess, odd, even and odd-odd continued fractions and their regularity properties
Seul Bee Lee, Stefano Marmi
The Brjuno function was introduced by Yoccoz to study the linearizability of holomorphic germs and other one-dimensional small divisor problems. The Brjuno functions associated wit…
Analytic linearization of a generalization of the semi-standard map: radius of convergence and Brjuno sum
Claire Chavaudret, Stefano Marmi
One considers a system on close to an invariant curve which can be viewed as a generalization of the semi-standard map to a trigonometric polynomial with many Fourie…
Regularity properties of -Brjuno and Wilton functions
Seul Bee Lee, Stefano Marmi, Izabela Petrykiewicz +1
We study functions related to the classical Brjuno function, namely -Brjuno functions and the Wilton function. Both appear in the study of boundary regularity properties of (qua…
Random-like properties of chaotic forcing
Paolo Giulietti, Stefano Marmi, Matteo Tanzi
We prove that skew systems with a sufficiently expanding base have approximate exponential decay of correlations, meaning that the exponential rate is observed modulo an error. The…