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12/01/2022
Pre-averaging fractional processes contaminated by noise, with an application to turbulence
In this article, we consider the problem of estimating fractional proces...
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10/03/2022
Statistical inference for rough volatility: Central limit theorems
In recent years, there has been substantive empirical evidence that stoc...
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10/03/2022
Statistical inference for rough volatility: Minimax Theory
Rough volatility models have gained considerable interest in the quantit...
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08/01/2022
Short-time expansion of characteristic functions in a rough volatility setting with applications
We derive a higher-order asymptotic expansion of the conditional charact...
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07/21/2022
Rate-optimal estimation of mixed semimartingales
Consider the sum Y=B+B(H) of a Brownian motion B and an independent frac...
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06/30/2021
Mixed semimartingales: Volatility estimation in the presence of fractional noise
We consider the problem of estimating volatility for high-frequency data...
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08/12/2019
High-frequency analysis of parabolic stochastic PDEs with multiplicative noise: Part I
We consider the stochastic heat equation driven by a multiplicative Gaus...
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06/18/2018
