Statistical Inference for Fractional Volatility


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 ]


  1. Tetsuya Takabatake (Osaka University)
  2. Masaaki Fukasawa (Osaka University)
  3. Rebecca Westphal (ETH Zurich)

Topic Areas

Econometrics , High-Frequency Trading , Stochastic Volatility


TH-P-EM » Rough volatility and Simulations (14:30 - Thursday, 19th July, Emmet)

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