Fetching the paper…
Reading the bibliography…
In recent years, there has been a substantive interest in rough volatility models.
[author] Gloter, ArnaudA. and Hoffmann, MarcM. (2007). Estimation of the Hurst parameter from discrete noisy data. Ann. Statist. 35 1947–1974
1974
Earlier work this paper cites.
[author] Hörmander, LarsL. (1990). The Analysis of Linear Partial Differential Operators. I, second ed. Grundlehren der mathematischen Wissenschaften [Fundamental Principles of Mathematical Sciences] 256. Springer-Verlag, Berlin Distribution theory and Fourier analysis
1990
Earlier work this paper cites.
[author] Istas, JacquesJ. and Lang, GabrielG. (1997). Quadratic variations and estimation of the local Hölder index of a Gaussian process. Ann. Inst. H. Poincaré Probab. Statist. 33 407–436
1997
Earlier work this paper cites.
[author] Comte, FabienneF. and Renault, EricE. (1998). Long memory in continuous-time stochastic volatility models. Math. Finance 8 291–323
1998
Earlier work this paper cites.
[author] Gloter, ArnaudA. (2000). Estimation du coefficient de diffusion de la volatilité d’un modèle à volatilité stochastique. C. R. Acad. Sci. Paris Sér. I Math. 330 243–248
2000
Earlier work this paper cites.
[author] Diebold, Francis X.F. X. and Inoue, AtsushiA. (2001). Long memory and regime switching. J. Econometrics 105 131–159
2001
Earlier work this paper cites.
[author] Lampret, VitoV. (2001). The Euler-Maclaurin and Taylor formulas: Twin, elementary derivations. Math. Mag. 74 109–122
2001
Earlier work this paper cites.
[author] Andersen, Torben G.T. G., Bollerslev, TimT., Diebold, Francis X.F. X. and Labys, PaulP. (2003). Modeling and forecasting realized volatility. Econometrica 71 579–625
2003
Earlier work this paper cites.
[author] Račkauskas, A.A. and Suquet, C.C. (2004). Central limit theorems in Hölder topologies for Banach space valued random fields. Teor. Veroyatn. Primen. 49 109–125
2004
Earlier work this paper cites.
[author] Andersen, Torben G.T. G., Bollerslev, TimT. and Diebold, Francis X.F. X. (2007). Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility. Rev. Econ. Stat. 89 701-720
2007
Earlier work this paper cites.
[author] Aït-Sahalia, YacineY. and Jacod, JeanJ. (2009). Testing for jumps in a discretely observed process. Ann. Statist. 37 184–222
2009
Earlier work this paper cites.
[author] Corsi, FulvioF. (2009). A Simple Approximate Long-Memory Model of Realized Volatility. J. Financ. Econom. 7 174-196
2009
Earlier work this paper cites.
[author] Nourdin, IvanI., Nualart, DavidD. and Tudor, Ciprian A.C. A. (2010). Central and non-central limit theorems for weighted power variations of fractional Brownian motion. Ann. Inst. Henri Poincaré Probab. Stat. 46 1055–1079
2010
Earlier work this paper cites.
[author] Barndorff-Nielsen, Ole E.O. E., Corcuera, José ManuelJ. M. and Podolskij, MarkM. (2011). Multipower variation for Brownian semistationary processes. Bernoulli 17 1159–1194
2011
Earlier work this paper cites.
[author] Bandi, Federico M.F. M. and Renò, RobertoR. (2012). Time-varying leverage effects. J. Econometrics 169 94–113
2012
Earlier work this paper cites.
[author] Jacod, JeanJ. and Protter, PhilipP. (2012). Discretization of Processes. Stochastic Modelling and Applied Probability 67. Springer, Heidelberg
2012
Earlier work this paper cites.
[author] Vetter, MathiasM. (2012). Estimation of correlation for continuous semimartingales. Scand. J. Stat. 39 757–771
2012
Earlier work this paper cites.
[author] Aït-Sahalia, YacineY., Fan, JianqingJ. and Li, YingyingY. (2013). The leverage effect puzzle: Disentangling sources of bias at high frequency. J. Financ. Econ. 109 224-249
2013
Cited alongside, same era.
[author] Barndorff-Nielsen, Ole E.O. E., Corcuera, José ManuelJ. M. and Podolskij, MarkM. (2013). Limit theorems for functionals of higher order differences of Brownian semi-stationary processes. In Prokhorov and contemporary probability theory. Springer Proc. Math. Stat. 33 69–96. Springer, Heidelberg
2013
Cited alongside, same era.
[author] Corcuera, José ManuelJ. M., Hedevang, EmilE., Pakkanen, Mikko S.M. S. and Podolskij, MarkM. (2013). Asymptotic theory for Brownian semi-stationary processes with application to turbulence. Stochastic Process. Appl. 123 2552–2574
2013
Cited alongside, same era.
[author] Aït-Sahalia, YacineY. and Jacod, JeanJ. (2014). High-Frequency Financial Econometrics. Princeton University Press
2014
Cited alongside, same era.
[author] Gatheral, JimJ., Jusselin, PaulP. and Rosenbaum, MathieuM. (2020). The quadratic rough Heston model and the joint S&P 500/VIX smile calibration problem. Risk 6 pp
2020
Later among the works it cites.
[author] Jusselin, PaulP. and Rosenbaum, MathieuM. (2020). No-arbitrage implies power-law market impact and rough volatility. Math. Finance 30 1309–1336
2020
Later among the works it cites.
[author] Liu, YanghuiY. and Tindel, SamyS. (2020). Discrete rough paths and limit theorems. Ann. Inst. Henri Poincaré Probab. Stat. 56 1730–1774
2020
Later among the works it cites.
[author] Fukasawa, MasaakiM. (2021). Volatility has to be rough. Quant. Finance 21 1–8
2021
Later among the works it cites.
[author] Shi, ShupingS., Liu, XiaobinX. and Yu, JunJ. (2021). Fractional stochastic volatility model. SSRN preprint
2021
Later among the works it cites.
alphaXiv searches the wider corpus for related work and actual follow-ups.
alphaXiv is searching for related work…
[author] Wang, Christina D.C. D. and Mykland, Per A.P. A. (2014). The estimation of leverage effect with high-frequency data. J. Amer. Statist. Assoc. 109 197–215
2014
Cited alongside, same era.
[author] Vetter, MathiasM. (2015). Estimation of integrated volatility of volatility with applications to goodness-of-fit testing. Bernoulli 21 2393–2418
2015
Cited alongside, same era.
[author] Bayer, ChristianC., Friz, PeterP. and Gatheral, JimJ. (2016). Pricing under rough volatility. Quant. Finance 16 887–904
2016
Cited alongside, same era.
[author] Bollerslev, TimT., Li, Sophia ZhengziS. Z. and Todorov, ViktorV. (2016). Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns. J. Financ. Econ. 120 464-490
2016
Cited alongside, same era.
[author] Aït-Sahalia, YacineY., Fan, JianqingJ., Laeven, Roger J. A.R. J. A., Wang, Christina DanC. D. and Yang, XiyeX. (2017). Estimation of the continuous and discontinuous leverage effects. J. Amer. Statist. Assoc. 112 1744–1758
2017
Cited alongside, same era.
[author] Bennedsen, MikkelM., Lunde, AsgerA. and Pakkanen, Mikko S.M. S. (2017). Hybrid scheme for Brownian semistationary processes. Finance Stoch. 21 931–965
2017
Cited alongside, same era.
[author] Kalnina, IlzeI. and Xiu, DachengD. (2017). Nonparametric estimation of the leverage effect: a trade-off between robustness and efficiency. J. Amer. Statist. Assoc. 112 384–396
2017
Cited alongside, same era.
[author] El Euch, OmarO., Fukasawa, MasaakiM. and Rosenbaum, MathieuM. (2018). The microstructural foundations of leverage effect and rough volatility. Finance Stoch. 22 241–280
2018
Cited alongside, same era.
[author] Bennedsen, MikkelM., Lunde, AsgerA. and Pakkanen, Mikko S.M. S. (2022). Decoupling the short-and long-term behavior of stochastic volatility. J. Financ. Econom. 20 961–1006
2022
Closest in time.
2022
Closest in time.
2022
Closest in time.
2022
Closest in time.
2022
Closest in time.
[author] Fukasawa, MasaakiM., Takabatake, TetsuyaT. and Westphal, RebeccaR. (2022). Consistent estimation for fractional stochastic volatility model under high-frequency asymptotics. Math. Finance 32 1086–1132
2022
Closest in time.
[author] Li, YingyingY., Liu, GuangyingG. and Zhang, ZhiyuanZ. (2022). Volatility of volatility: estimation and tests based on noisy high frequency data with jumps. J. Econometrics 229 422–451
2022
Closest in time.
2022
Closest in time.
[author] Bolko, Anine E.A. E., Christensen, KimK., Pakkanen, Mikko S.M. S. and Veliyev, BezirgenB. (2023). A GMM approach to estimate the roughness of stochastic volatility. J. Econometrics 235 745–778
2023
Closest in time.
[author] Shi, ShupingS. and Yu, JunJ. (2023). Volatility puzzle: Long memory or anti-persistency. Manage. Sci. 69 3759–4361
2023
Closest in time.
[author] Wang, XiaohuX., Xiao, WeilinW. and Yu, JunJ. (2023). Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process. J. Econometrics 232 389–415
2023
Closest in time.