Suchergebnisse

Volatility of Volatility and Leverage Effect from Options

In: Journal of Econometrics, Band 240, Heft 1

Do Equity and Options Markets Agree about Volatility?

Short-Time Expansion of Characteristic Functions in a Rough Volatility Setting With Applications

Asymptotic Expansions for High-Frequency Option Data

When Frictions are Fractional: Rough Noise in High-Frequency Data

Rate-Optimal Estimation of Mixed Semimartingales

Statistical inference for rough volatility: Central limit theorems

In: The Annals of Applied Probability

Statistical Inference for Rough Volatility: Minimax Theory