Nonparametric Test for Rough Volatility

DOI10.1080/01621459.2025.2495316MaRDI QIDQ6878022zbMATH OpenFDO

Authors Carsten H. Chong, Viktor Todorov

Publication date 7 January 2026

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/01621459.2025.2495316

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited in

(2)

• Multi-horizon test for market frictions
• Spectral analysis of high-dimensional spot volatility matrix with applications

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