When Frictions are Fractional: Rough Noise in High-Frequency Data

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When Frictions are Fractional: Rough Noise in High-Frequency Data

30 June 2021

Carsten H. Chong

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Papers citing "When Frictions are Fractional: Rough Noise in High-Frequency Data"

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Title
$Pre-averaging fractional processes contaminated by noise, with an application to turbulence$ Pre-averaging fractional processes contaminated by noise, with an application to turbulence David Chen Yu Cheng Carsten H. Chong Pierre Gentine Wangdong Jia Bryce Monier Shi-Chen Shen 50 1 0 01 Dec 2022
Statistical inference for rough volatility: Central limit theorems Carsten H. Chong M. Hoffmann Yanghui Liu M. Rosenbaum Grégoire Szymanski 80 18 0 03 Oct 2022
$Estimation of mixed fractional stable processes using high-frequency data$ Estimation of mixed fractional stable processes using high-frequency data Fabian Mies M. Podolskij 46 4 0 15 Aug 2022
Short-time expansion of characteristic functions in a rough volatility setting with applications Carsten H. Chong Viktor Todorov 28 4 0 01 Aug 2022
Rate-optimal estimation of mixed semimartingales Carsten H. Chong T. Delerue Fabian Mies 92 5 0 21 Jul 2022