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Statistical inference for rough volatility: Central limit theorems

Publication: Statistical inference for rough volatility: Central limit theorems. Published Oct 3, 2022.

Research & Papers
arxiv.orgPublished Oct 3, 2022
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Overview

Publication: Statistical inference for rough volatility: Central limit theorems. Published Oct 3, 2022.

Publication information

Publication title
Statistical inference for rough volatility: Central limit theorems
Authors
Carsten Chong, Marc Hoffmann, Yanghui Liu, Mathieu Rosenbaum, Grégoire Szymanski
Published
Oct 3, 2022
Last publication revision
Jun 14, 2024
Venue / journal
The Annals of Applied Probability, Vol. 34, No. 3, 2600-2649, 2024
Subject areas
math.ST, q-fin.ST
DOI
10.1214/23-AAP2002 ↗
Publication source
arxiv.org · abs/2210.01216v3 ↗

Source: arXiv API · observed Oct 11, 2026.

Source links & provenance

https://arxiv.org/abs/2210.01216 ↗

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Language
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Code license
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