Chong, Carsten H.

1. When Frictions are Fractional: Rough Noise in High-Frequency Data
   2021/06/30 by Carsten Chong, Thomas Delerue, Chong, Carsten H. +3 · 2 citations
   Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #FOS: Computer and information sciences #FOS: Economics and business #FOS: Mathematics #Financial Markets and Investment Strategies #Financial Risk and Volatility Modeling #Methodology (stat.ME) #Probability (math.PR) #Statistical Finance (q-fin.ST) #Statistics Theory (math.ST)
2. Rate-optimal estimation of mixed semimartingales
   2022/07/21 by Carsten Chong, Thomas Delerue, Chong, Carsten H. +3 · 1 citation
   Economics, Econometrics and Finance · #Financial Risk and Volatility Modeling #Stochastic processes and financial applications #Insurance and Financial Risk Management
3. A nonparametric test for rough volatility
   2024/07/15 by Carsten Chong, Chong, Carsten H., Viktor Todorov +1 · 1 citation
   Economics, Econometrics and Finance · #Market Dynamics and Volatility #Financial Risk and Volatility Modeling