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Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics
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Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics (2022)Consistent estimation for fractional stoc…Volatility Is Rough (2018)Volatility Is RoughThe microstructural foundations of leverage effect and rough volatility (2018)The microstructural foundatio…Asymptotics for Rough Stochastic Volatility Models (2017)Asymptotics for Rough Stochas…Short-time at-the-money skew and rough fractional volatility (2016)Short-time at-the-money skew …Decoupling the Short- and Long-Term Behavior of Stochastic Volatility (2016)Decoupling the Short- and Lon…Pricing under rough volatility (2015)Pricing under rough volatilityHigh-Frequency Financial Econometrics (2014)High-Frequency Financial Econ…Asymptotic analysis for stochastic volatility: martingale expansion (2010)Asymptotic analysis for stoch…Stochastic Calculus for Fractional Brownian Motion and Related Processes (2008)Stochastic Calculus for Fract…On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility (2007)On the short-time behavior of…The Local Whittle Estimator of Long-Memory Stochastic Volatility (2003)The Local Whittle Estimator o…The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Modelling fluctuations of financial time series: from cascade process to stochastic volatility model (2000)Modelling fluctuations of fin…Long memory in continuous‐time stochastic volatility models (1998)Long memory in continuous‐tim…Asymptotic error distributions for the Euler method for stochastic differential equations (1998)Asymptotic error distribution…Central limit theorems for quadratic forms in random variables having long-range dependence (1987)Central limit theorems for qu…Rough Volatility: Fact or Artefact? (2024)Rough Volatility: Fact or Art…Functional central limit theorems for rough volatility (2024)Functional central limit theo…Volatility Puzzle: Long Memory or Antipersistency (2022)Volatility Puzzle: Long Memor…A GMM approach to estimate the roughness of stochastic volatility (2022)A GMM approach to estimate th…Limit Theorems for Stochastic Processes (1987)Stochastic Integration and Differential Equations (1990)Realized Variance and Market Microstructure Noise (2004)Stochastic Integration and Differential Equations (2005)Estimating Covariation: Epps Effect, Microstructure Noise (2006)Ultra high frequency volatility estimation with dependent microstructure noise (2010)Fractional Brownian Motions, Fractional Noises and Applications (1968)The Pricing of Options and Corporate Liabilities (1973)Modeling and Forecasting Realized Volatility (2001)Time-changed Lévy processes and option pricing (2003)Brownian Motion and Stochastic Calculus (2007)Fractional Differencing (1981)A Bibliographical Guide to Self-Similar Processes and Long-Range Dependence (1986)A Goodness-Of-Fit Test for Time Series with Long Range Dependence (1992)A limit theory for long-range dependence and statistical inference on related models (1997)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Time Dependent Heston Model (2010)Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models (2020)Modeling and Forecasting Realized Volatility (2003)The characteristic function of rough Heston models (2019)The Volatility Surface: A Practitioner's Guide (2006)Realized Volatility: A Review (2008)Expected stock returns and volatility (1987)The distribution of realized stock return volatility (2001)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)High-Frequency Data and Volatility in Foreign-Exchange Rates (1996)On leverage in a stochastic volatility model (2004)Large-Dimensional Factor Modeling Based on High-Frequency Observations (2015)Principal Component Analysis of High-Frequency Data (2017)Using principal component analysis to estimate a high dimensional factor model with high-frequency data (2017)Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes (2004)Empirical distributions of stock returns: between the stretched exponential and the power law? (2005)Multifractal methodology (2017)Fractional stochastic differential equations with applications to finance (2012)Hybrid scheme for Brownian semistationary processes (2017)Stochastic averaging for stochastic differential equations driven by fractional Brownian motion and standard Brownian motion (2019)
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References

  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 2008Stochastic Calculus for Fractional Brownian Motion and Related Processes922 cited
  • 2018Volatility Is Rough793 cited
  • 1998Long memory in continuous‐time stochastic volatility models752 cited
  • 2015Pricing under rough volatility461 cited
  • 1998Asymptotic error distributions for the Euler method for stochastic differential equations400 cited
  • 2000Modelling fluctuations of financial time series: from cascade process to stochastic volatility model301 cited
  • 2014High-Frequency Financial Econometrics283 cited
  • 2007On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility239 cited
  • 1987Central limit theorems for quadratic forms in random variables having long-range dependence173 cited
  • 2010Asymptotic analysis for stochastic volatility: martingale expansion160 cited
  • 2018The microstructural foundations of leverage effect and rough volatility154 cited
  • 2016Short-time at-the-money skew and rough fractional volatility96 cited
  • 2017Asymptotics for Rough Stochastic Volatility Models95 cited
  • 2016Decoupling the Short- and Long-Term Behavior of Stochastic Volatility

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87 cited
  • 2003The Local Whittle Estimator of Long-Memory Stochastic Volatility61 cited
  • Cited by

    • 2024Functional central limit theorems for rough volatility46 cited
    • 2022A GMM approach to estimate the roughness of stochastic volatility42 cited
    • 2024Rough Volatility: Fact or Artefact?35 cited
    • 2022Volatility Puzzle: Long Memory or Antipersistency28 cited