Record link: 
http://hdl.handle.net/20.500.12708/193627
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Title: 
Statistical Inference for Rough and Persistent Volatility
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Citation: 
Damian, C., Frey, R., & Voigt, S. (2023). Statistical Inference for Rough and Persistent Volatility. In European Meeting of Statisticians 2023 - Book of Abstracts (pp. 70–70). http://hdl.handle.net/20.500.12708/193627
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Publication Type: 
Inproceedings - Abstract Book Contribution
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Language: 
English
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Authors: 
Damian, Camilla 
Frey, Rüdiger 
Voigt, Stefan 
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Organisational Unit: 
E105-06 - Forschungsbereich Computational Statistics 
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Published in: 
European Meeting of Statisticians 2023 - Book of Abstracts 
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Date (published): 
7-Jul-2023
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Event name: 
34th European Meeting of Statisticians (EMS 2023) 
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Event date: 
3-Jul-2023 - 7-Jul-2023
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Event place: 
Warsaw, Poland
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Number of Pages: 
1
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Keywords: 
High-frequency data; Rough volatility; Nested particle filter
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Research Areas: 
Mathematical Methods in Economics: 50%
Modeling and Simulation: 50%
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Science Branch: 
1020 - Informatik: 10%
5020 - Wirtschaftswissenschaften: 30%
1010 - Mathematik: 60%
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Appears in Collections:
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