Cover Image

Short-time expansion of characteristic functions in a rough volatility setting with applications

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Chong, Carsten H., Todorov, Viktor
Format:	Preprint
Published:	2022
Subjects:	Statistical Finance Probability Statistics Theory Methodology
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

A nonparametric test for rough volatility
by: Chong, Carsten H., et al.
Published: (2024)

When Frictions are Fractional: Rough Noise in High-Frequency Data
by: Chong, Carsten H., et al.
Published: (2021)

Volatility of Volatility and Leverage Effect from Options
by: Chong, Carsten H., et al.
Published: (2023)

Statistical inference for rough volatility: Minimax Theory
by: Chong, Carsten, et al.
Published: (2022)

Rate-optimal estimation of mixed semimartingales
by: Chong, Carsten H., et al.
Published: (2022)

Fitting an Equation to Data Impartially
by: Tofallis, Chris
Published: (2024)

Testing by Betting while Borrowing and Bargaining
by: Wang, Hongjian, et al.
Published: (2024)

Asymptotic Expansions for High-Frequency Option Data
by: Chong, Carsten H., et al.
Published: (2023)

A GMM approach to estimate the roughness of stochastic volatility
by: Bolko, Anine E., et al.
Published: (2020)

Centered-Innovation MA for Bayesian Dirichlet ARMA: Theoretical Equivalence and an Application to Bank-Asset Shares
by: Katz, Harrison
Published: (2025)

Scores for Multivariate Distributions and Level Sets
by: Meng, Xiaochun, et al.
Published: (2020)

Signature-based validation of real-world economic scenarios
by: Andrès, Hervé, et al.
Published: (2022)

Edgeworth corrections for the spiked eigenvalues of non-Gaussian sample covariance matrices with applications
by: Wei, Yashi, et al.
Published: (2025)

Reviving pseudo-inverses: Asymptotic properties of large dimensional Moore-Penrose and Ridge-type inverses with applications
by: Bodnar, Taras, et al.
Published: (2024)

Stochastic Subspace via Probabilistic Principal Component Analysis for Characterizing Model Error
by: Yadav, Akash, et al.
Published: (2025)

New density/likelihood representations for Gibbs models based on generating functionals of point processes
by: Cronie, Ottmar
Published: (2024)

Gaussian random field's anisotropy using excursion sets
by: Azaïs, Jean-Marc, et al.
Published: (2025)

Possibilistic inferential models: a review
by: Martin, Ryan
Published: (2025)

On the rate of convergence of estimating the Hurst parameter of rough stochastic volatility models
by: Han, Xiyue, et al.
Published: (2025)

Ledoit-Wolf linear shrinkage with unknown mean
by: Oriol, Benoit, et al.
Published: (2023)

Nonparametric estimation of homogenized invariant measures from multiscale data via Hermite expansion
by: Borodavka, Jaroslav I., et al.
Published: (2025)

Asymptotic and finite-sample distributions of one- and two-sample empirical relative entropy, with application to change-point detection
by: Garcin, Matthieu, et al.
Published: (2025)

Sharp adaptive and pathwise stable similarity testing for scalar ergodic diffusions
by: Brutsche, Johannes, et al.
Published: (2022)

Multiple testing under negative dependence
by: Chi, Ziyu, et al.
Published: (2022)

Causal Identification for Complex Functional Longitudinal Studies
by: Ying, Andrew
Published: (2022)

Mean Estimation in Banach Spaces Under Infinite Variance and Martingale Dependence
by: Whitehouse, Justin, et al.
Published: (2024)

Nonparametric priors with full-range borrowing of information
by: Ascolani, Filippo, et al.
Published: (2023)

Bayesian Chain Ladder For Cumulative Run-Off Triangle Under Half-Normal Distribution Assumption
by: Fauzi, Rizky Reza, et al.
Published: (2024)

Kolmogorov-Type Maximal Inequalities for Independent and Dependent Negative Binomial Random Variables: Sharp Bounds, Sub-Exponential Refinements, and Applications to Overdispersed Count Data
by: Doumas, Aristides V., et al.
Published: (2026)

On the robustness of semi-discrete optimal transport
by: Paindaveine, Davy, et al.
Published: (2024)

Hybrid of node and link communities for graphon estimation
by: Verdeyme, Arthur, et al.
Published: (2024)

New generalized unit distributions based on order statistics
by: Attia, Iman Mohamed
Published: (2025)

Weak convergence of predictive distributions
by: Leisen, Fabrizio, et al.
Published: (2025)

Regularized e-processes: anytime valid inference with knowledge-based efficiency gains
by: Martin, Ryan
Published: (2024)

Time-Uniform Self-Normalized Concentration for Vector-Valued Processes
by: Whitehouse, Justin, et al.
Published: (2023)

Bayesian nonparametric community detection in assortative stochastic block models
by: Amongero, Martina, et al.
Published: (2025)

Rao-Blackwellized e-variables
by: de Roos, Dante, et al.
Published: (2025)

Uncovering the topology of an infinite-server queueing network from population data
by: Gupta, Hritika, et al.
Published: (2025)

Unit Shiha Distribution and its Applications to Engineering and Medical Data
by: Shiha, F. A.
Published: (2026)

No-prior Bayes reIMagined: probabilistic approximations of inferential models
by: Martin, Ryan
Published: (2025)