Estimating the roughness exponent of stochastic volatility from discrete observations of the realized variance
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Carsten Chong & Marc Hoffmann & Yanghui Liu & Mathieu Rosenbaum & Gr'egoire Szymanski, 2022. "Statistical inference for rough volatility: Central limit theorems," Papers 2210.01216, arXiv.org, revised Jul 2023.
- Bolko, Anine E. & Christensen, Kim & Pakkanen, Mikko S. & Veliyev, Bezirgen, 2023. "A GMM approach to estimate the roughness of stochastic volatility," Journal of Econometrics, Elsevier, vol. 235(2), pages 745-778.
- Antoine Jacquier & Claude Martini & Aitor Muguruza, 2018. "On VIX futures in the rough Bergomi model," Quantitative Finance, Taylor & Francis Journals, vol. 18(1), pages 45-61, January.
- Omar El Euch & Mathieu Rosenbaum, 2019. "The characteristic function of rough Heston models," Mathematical Finance, Wiley Blackwell, vol. 29(1), pages 3-38, January.
- Carsten Chong & Marc Hoffmann & Yanghui Liu & Mathieu Rosenbaum & Gr'egoire Szymanski, 2022. "Statistical inference for rough volatility: Minimax Theory," Papers 2210.01214, arXiv.org, revised Feb 2024.
- Christian Bayer & Peter Friz & Jim Gatheral, 2016. "Pricing under rough volatility," Quantitative Finance, Taylor & Francis Journals, vol. 16(6), pages 887-904, June.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Alexandre Pannier, 2023. "Path-dependent PDEs for volatility derivatives," Papers 2311.08289, arXiv.org, revised Jan 2024.
- Ulrich Horst & Wei Xu & Rouyi Zhang, 2023. "Convergence of Heavy-Tailed Hawkes Processes and the Microstructure of Rough Volatility," Papers 2312.08784, arXiv.org.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Ulrich Horst & Wei Xu & Rouyi Zhang, 2023. "Convergence of Heavy-Tailed Hawkes Processes and the Microstructure of Rough Volatility," Papers 2312.08784, arXiv.org.
- Liang Wang & Weixuan Xia, 2022.
"Power‐type derivatives for rough volatility with jumps,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(7), pages 1369-1406, July.
- Liang Wang & Weixuan Xia, 2020. "Power-type derivatives for rough volatility with jumps," Papers 2008.10184, arXiv.org, revised Nov 2021.
- Giulia Di Nunno & Kk{e}stutis Kubilius & Yuliya Mishura & Anton Yurchenko-Tytarenko, 2023. "From constant to rough: A survey of continuous volatility modeling," Papers 2309.01033, arXiv.org, revised Sep 2023.
- Christa Cuchiero & Sara Svaluto-Ferro, 2021. "Infinite-dimensional polynomial processes," Finance and Stochastics, Springer, vol. 25(2), pages 383-426, April.
- M.E. Mancino & S. Scotti & G. Toscano, 2020.
"Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data,"
Applied Mathematical Finance, Taylor & Francis Journals, vol. 27(4), pages 288-316, July.
- Maria Elvira Mancino & Simone Scotti & Giacomo Toscano, 2020. "Is the variance swap rate affine in the spot variance? Evidence from S&P500 data," Papers 2004.04015, arXiv.org.
- Li, Yicun & Teng, Yuanyang, 2023. "Statistical inference in discretely observed fractional Ornstein–Uhlenbeck processes," Chaos, Solitons & Fractals, Elsevier, vol. 177(C).
- Carsten Chong & Marc Hoffmann & Yanghui Liu & Mathieu Rosenbaum & Gr'egoire Szymanski, 2022. "Statistical inference for rough volatility: Central limit theorems," Papers 2210.01216, arXiv.org, revised Jul 2023.
- Carsten Chong & Marc Hoffmann & Yanghui Liu & Mathieu Rosenbaum & Gr'egoire Szymanski, 2022. "Statistical inference for rough volatility: Minimax Theory," Papers 2210.01214, arXiv.org, revised Feb 2024.
- Christian Bayer & Peter K. Friz & Paul Gassiat & Jorg Martin & Benjamin Stemper, 2020. "A regularity structure for rough volatility," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 782-832, July.
- Eduardo Abi Jaber, 2022. "The characteristic function of Gaussian stochastic volatility models: an analytic expression," Working Papers hal-02946146, HAL.
- Eduardo Abi Jaber, 2022. "The characteristic function of Gaussian stochastic volatility models: an analytic expression," Finance and Stochastics, Springer, vol. 26(4), pages 733-769, October.
- Archil Gulisashvili, 2022. "Multivariate Stochastic Volatility Models and Large Deviation Principles," Papers 2203.09015, arXiv.org, revised Nov 2022.
- Siu Hin Tang & Mathieu Rosenbaum & Chao Zhou, 2023. "Forecasting Volatility with Machine Learning and Rough Volatility: Example from the Crypto-Winter," Papers 2311.04727, arXiv.org, revised Feb 2024.
- Daniel Bartl & Michael Kupper & David J. Prömel & Ludovic Tangpi, 2019. "Duality for pathwise superhedging in continuous time," Finance and Stochastics, Springer, vol. 23(3), pages 697-728, July.
- Mathieu Rosenbaum & Jianfei Zhang, 2022. "On the universality of the volatility formation process: when machine learning and rough volatility agree," Papers 2206.14114, arXiv.org.
- David J. Promel & David Scheffels, 2022. "Pathwise uniqueness for singular stochastic Volterra equations with H\"older coefficients," Papers 2212.08029, arXiv.org.
- Ying Jiao & Chunhua Ma & Simone Scotti & Chao Zhou, 2021. "The Alpha‐Heston stochastic volatility model," Mathematical Finance, Wiley Blackwell, vol. 31(3), pages 943-978, July.
- Peter K. Friz & Paul Gassiat & Paolo Pigato, 2022.
"Short-dated smile under rough volatility: asymptotics and numerics,"
Quantitative Finance, Taylor & Francis Journals, vol. 22(3), pages 463-480, March.
- Peter K. Friz & Paul Gassiat & Paolo Pigato, 2020. "Short dated smile under Rough Volatility: asymptotics and numerics," Papers 2009.08814, arXiv.org, revised Sep 2021.
- Giulia Di Nunno & Anton Yurchenko-Tytarenko, 2022. "Sandwiched Volterra Volatility model: Markovian approximations and hedging," Papers 2209.13054, arXiv.org.
- Florian Bourgey & Stefano De Marco & Peter K. Friz & Paolo Pigato, 2023.
"Local volatility under rough volatility,"
Mathematical Finance, Wiley Blackwell, vol. 33(4), pages 1119-1145, October.
- Florian Bourgey & Stefano De Marco & Peter K. Friz & Paolo Pigato, 2022. "Local volatility under rough volatility," Papers 2204.02376, arXiv.org, revised Nov 2022.
More about this item
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2023-08-21 (Econometrics)
- NEP-RMG-2023-08-21 (Risk Management)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:2307.02582. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.