Spot estimation for fractional Ornstein-Uhlenbeck stochastic volatility model: consistency and central limit theorem

DOI10.1007/S11203-020-09209-1zbMATH Open1458.62188OpenAlexW3013990320MaRDI QIDQ2194053FDOQ2194053

Authors: Yaroslav Eumenius-Schulz 

Publication date: 25 August 2020

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-020-09209-1

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zbMATH Keywords

central limit theoremrough volatilityfractional stochastic volatilityspot volatility estimator

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Nonparametric tolerance and confidence regions (62G15) Non-Markovian processes: estimation (62M09) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Diffusion processes (60J60) Generalizations of martingales (60G48) Applications of rough analysis (60L90)

Cites Work

• Fractional Brownian Motions, Fractional Noises and Applications
• A general version of the fundamental theorem of asset pricing
• Stochastic calculus for fractional Brownian motion and related processes.
• Long memory in continuous-time stochastic volatility models
• Discretization of processes.
• Selected aspects of fractional Brownian motion.
• On mixing and stability of limit theorems
• Fractional {O}rnstein-{U}hlenbeck processes
• Title not available (Why is that?)
• Volatility is rough
• Optimal kernel estimation of spot volatility of stochastic differential equations
• The microstructural foundations of leverage effect and rough volatility
• Semimartingale: Itô or not ?
• Short-time near-the-money skew in rough fractional volatility models

Cited In (4)

• A central limit theorem for the functional estimation of the spot volatility
• Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics
• Statistical inference for rough volatility: minimax theory
• Estimation of the instantaneous volatility

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