Statistical inference for rough volatility: minimax theory

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09) Minimax procedures in statistical decision theory (62C20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

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Estimation of the volatility persistence in a discretely observed diffusion model
Quadratic variations and estimation of the local Hölder index of a Gaussian process
Perfect hedging in rough Heston models
The microstructural foundations of leverage effect and rough volatility
Rate of convergence for parametric estimation in a stochastic volatility model.
Local asymptotic normality property for fractional Gaussian noise under high-frequency observations
Wavelets, generalized white noise and fractional integration: The synthesis of fractional Brownian motion
Affine forward variance models
Large and moderate deviations for stochastic Volterra systems
Forests, cumulants, martingales
Affine Volterra processes
Markovian lifts of positive semidefinite affine Volterra-type processes
Moment explosions in the rough Heston model
Limit theorems for nearly unstable Hawkes processes
Nonparametric change-point analysis of volatility
Asymptotically efficient estimators for self-similar stationary Gaussian noises under high frequency observations
On the martingale property in the rough Bergomi model
On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
Estimation of the Hurst parameter from discrete noisy data
Stochastic volatility and fractional Brownian motion
First order \(p\)-variations and Besov spaces
The characteristic function of Gaussian stochastic volatility models: an analytic expression
Long memory in continuous-time stochastic volatility models
Limit Theorems for Functionals of Higher Order Differences of Brownian Semi-Stationary Processes
Asymptotics for Rough Stochastic Volatility Models
Quelques espaces fonctionnels associés à des processus gaussiens
Volatility is rough
Turbocharging Monte Carlo pricing for the rough Bergomi model
Fisher Information for Fractional Brownian Motion Under High-Frequency Discrete Sampling
Short-Term At-the-Money Asymptotics under Stochastic Volatility Models
Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough)
Pricing under rough volatility
Volatility has to be rough
Short-dated smile under rough volatility: asymptotics and numerics
Multifactor Approximation of Rough Volatility Models
The characteristic function of rough Heston models
A regularity structure for rough volatility
No‐arbitrage implies power‐law market impact and rough volatility
Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths
Hybrid scheme for Brownian semistationary processes
A GMM approach to estimate the roughness of stochastic volatility
Optimal estimation of the rough Hurst parameter in additive noise
Weak Error Rates of Numerical Schemes for Rough Volatility
Statistical inference for rough volatility: central limit theorems

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