default author photo

Marc Hoffmann

Independent

SCHOLARLY PAPERS

2

DOWNLOADS

170

TOTAL CITATIONS

7

Scholarly Papers (2)

Actions:
Email selected abstracts
1.

Statistical inference for rough volatility: Central limit theorems

The Annals of Applied Probability
Number of pages: 49 Posted: 15 Oct 2022 Last Revised: 09 Nov 2024
Carsten H. Chong, Marc Hoffmann, Yanghui Liu, Mathieu Rosenbaum and Grégoire Szymanski
Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management, Independent, Independent, Université PSL and Independent
Downloads 105 (689,572)
Citation 5

Abstract:

Loading...

Primary 62G15, 62G20, 62M09, secondary 60F05, 62P20 Central limit theorem, fractional Brownian motion, Hurst parameter, nonparametric estimation, rough volatility, spot volatility, volatility of volatility

2.

Statistical Inference for Rough Volatility: Minimax Theory

The Annals of Statistics, volume 52, issue 4, 2024[10.1214/23-AOS2343]
Number of pages: 57 Posted: 15 Oct 2022 Last Revised: 09 Nov 2024
Carsten H. Chong, Marc Hoffmann, Yanghui Liu, Mathieu Rosenbaum and Grégoire Szymanski
Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management, Independent, Independent, Université PSL and Independent
Downloads 65 (951,658)
Citation 2

Abstract:

Loading...

Rough volatility, fractional Brownian motion, wavelets, scaling, minimax optimality, pre-averaging, iterated estimation procedure