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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 paper
External document link
https://hal.science/hal-03949577
Date
2023
Series title
Cahier de recherche CEREMADE, Université Paris Dauphine-PSL
Published in
Paris
Metadata
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Author(s)
Chong, Carsten
Hoffmann, Marc
Liu, Yanghui
Szymanski, Grégoire
Rosenbaum, Mathieu
Subjects / Keywords
wavelets; scaling; minimax optimality; pre-averaging; iterated estimation procedure; Rough volatility; fractional Brownian motion