Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics

DOI10.1111/mafi.12354zbMath1522.91272OpenAlexW4292800989MaRDI QIDQ6054436

Tetsuya Takabatake, Masaaki Fukasawa, Unnamed Author

Publication date: 28 September 2023

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12354

zbMATH Keywords

fractional Brownian motionstochastic volatilityWhittle estimatorrealized variancerough volatilityhigh-frequency data analysis

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Rough volatility via the Lamperti transform ⋮ Wiener Spiral for Volatility Modeling ⋮ MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES ⋮ A GMM approach to estimate the roughness of stochastic volatility ⋮ A partial rough path space for rough volatility ⋮ Asymptotically efficient estimation of ergodic rough fractional Ornstein-Uhlenbeck process under continuous observations ⋮ Local volatility under rough volatility

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