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09/07/2023
Power variations and limit theorems for stochastic processes controlled by fractional Brownian motions
In this paper we establish limit theorems for power variations of stocha...
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10/03/2022
Statistical inference for rough volatility: Central limit theorems
In recent years, there has been substantive empirical evidence that stoc...
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10/03/2022
Statistical inference for rough volatility: Minimax Theory
Rough volatility models have gained considerable interest in the quantit...
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05/26/2022