STATISTICAL INFERENCE FOR ROUGH VOLATILITY: MINIMAX THEORY
Chong, Carsten; Hoffmann, Marc; Liu, Yanghui; Szymanski, Grégoire; Rosenbaum, Mathieu (2023), STATISTICAL INFERENCE FOR ROUGH VOLATILITY: MINIMAX THEORY. https://basepub.dauphine.psl.eu/handle/123456789/24557
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Type
Document de travail / Working paperExternal document link
https://hal.science/hal-03949577Date
2023Series title
Cahier de recherche CEREMADE, Université Paris Dauphine-PSLPublished in
Paris
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Show full item recordSubjects / Keywords
wavelets; scaling; minimax optimality; pre-averaging; iterated estimation procedure; Rough volatility; fractional Brownian motionRelated items
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