Statistical Inference for Fractional Volatility
Abstract
We consider a statistical inference problem for a continuous-time fractional volatility model based on high frequency observations of a quadratic variation of an asset price. Our contribution is to construct a consistent... [ view full abstract ]
Authors
- Tetsuya Takabatake (Osaka University)
- Masaaki Fukasawa (Osaka University)
- Rebecca Westphal (ETH Zurich)
Topic Areas
Econometrics , High-Frequency Trading , Stochastic Volatility
Session
TH-P-EM » Rough volatility and Simulations (14:30 - Thursday, 19th July, Emmet)
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