Statistical inference for rough volatility: Central limit theorems

Carsten Chong, Marc Hoffmann, Yanghui Liu, Mathieu Rosenbaum and Gr\'egoire Szymanski

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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

Date: 2022-10, Revised 2024-06
New Economics Papers: this item is included in nep-ecm and nep-ets
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Published in The Annals of Applied Probability, Vol. 34, No. 3, 2600-2649, 2024

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2210.01216

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