4 problems

Let $X$ be a process observed at times indexed by $i=1,\ldots,n$, with sampling interval $h_n$, spot volatility process $\sigma_t$, and finite jump activity. For each observation i…

Rough-volatility bias conjecture. The presence of rough volatility will, in general, introduce even more bias terms in the central limit theorems for the estimators.

The realized skewness estimator is considered for a process $X^c$ sampled at times $(t_i^n)$, where the sampling scheme may depend on $X^c$. In particular, it may happen that … con…

Let $Y_t=\int_{-\infty}^{\infty}g(t-s)\,dL_s$ be a Lévy-driven CARMA process, where $g$ is the kernel function and $L=\{L_t\}_{t\in\mathbb{R}}$ is the driving Lévy process. Conside…