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Statistical inference for rough volatility: Central limit theorems

Author

Listed:
  • Carsten Chong
  • Marc Hoffmann
  • Yanghui Liu
  • Mathieu Rosenbaum
  • Gr'egoire Szymanski

Abstract

In recent years, there has been a substantive interest in rough volatility models. In this class of models, the local behavior of stochastic volatility is much more irregular than semimartingales and resembles that of a fractional Brownian motion with Hurst parameter $H

Suggested Citation

  • Carsten Chong & Marc Hoffmann & Yanghui Liu & Mathieu Rosenbaum & Gr'egoire Szymanski, 2022. "Statistical inference for rough volatility: Central limit theorems," Papers 2210.01216, arXiv.org, revised Jun 2024.
    • Handle: RePEc:arx:papers:2210.01216
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    References listed on IDEAS

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    1. Mikkel Bennedsen & Asger Lunde & Mikko S Pakkanen, 2022. "Decoupling the Short- and Long-Term Behavior of Stochastic Volatility [Multifactor Approximation of Rough Volatility Models]," Journal of Financial Econometrics, Oxford University Press, vol. 20(5), pages 961-1006.
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    13. Omar El Euch & Mathieu Rosenbaum, 2019. "The characteristic function of rough Heston models," Mathematical Finance, Wiley Blackwell, vol. 29(1), pages 3-38, January.
    14. Carsten Chong & Marc Hoffmann & Yanghui Liu & Mathieu Rosenbaum & Gr'egoire Szymanski, 2022. "Statistical inference for rough volatility: Minimax Theory," Papers 2210.01214, arXiv.org, revised Feb 2024.
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    18. Jim Gatheral & Paul Jusselin & Mathieu Rosenbaum, 2020. "The quadratic rough Heston model and the joint S&P 500/VIX smile calibration problem," Papers 2001.01789, arXiv.org.
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    Cited by:

    1. Xiyue Han & Alexander Schied, 2023. "Estimating the roughness exponent of stochastic volatility from discrete observations of the integrated variance," Papers 2307.02582, arXiv.org, revised Nov 2024.
    2. Carsten Chong & Marc Hoffmann & Yanghui Liu & Mathieu Rosenbaum & Gr'egoire Szymanski, 2022. "Statistical inference for rough volatility: Minimax Theory," Papers 2210.01214, arXiv.org, revised Feb 2024.
    3. Ranieri Dugo & Giacomo Giorgio & Paolo Pigato, 2024. "The Multivariate Fractional Ornstein-Uhlenbeck Process," CEIS Research Paper 581, Tor Vergata University, CEIS, revised 28 Aug 2024.
    4. Ulrich Horst & Wei Xu & Rouyi Zhang, 2023. "Convergence of Heavy-Tailed Hawkes Processes and the Microstructure of Rough Volatility," Papers 2312.08784, arXiv.org, revised Nov 2024.

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