Carsten H. Chong

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Nonparametric Test for Rough Volatility Journal of the American Statistical Association	2026-01-07	Paper
Pre-averaging fractional processes contaminated by noise, with an application to turbulence Journal of Applied Probability	2025-11-28	Paper
When Frictions Are Fractional: Rough Noise in High-Frequency Data Journal of the American Statistical Association	2025-10-28	Paper
Asymptotic expansions for high-frequency option data The Annals of Applied Probability	2025-08-08	Paper
Short-time expansion of characteristic functions in a rough volatility setting with applications Bernoulli	2025-05-27	Paper
Rate-optimal estimation of mixed semimartingales The Annals of Statistics	2025-03-11	Paper
Statistical inference for rough volatility: minimax theory The Annals of Statistics	2024-10-18	Paper
Statistical inference for rough volatility: central limit theorems The Annals of Applied Probability	2024-08-22	Paper
Volatility of volatility and leverage effect from options Journal of Econometrics	2024-03-21	Paper
Asymptotic Expansions for High-Frequency Option Data	2023-04-24	Paper
Short-time expansion of characteristic functions in a rough volatility setting with applications	2022-08-01	Paper
High-frequency analysis of parabolic stochastic PDEs with multiplicative noise: Part I	2019-08-12	Paper

Research outcomes over time

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