| Statistical inference for rough volatility: Central limit theorems CH Chong, M Hoffmann, Y Liu, M Rosenbaum, G Szymanski The Annals of Applied Probability 34 (3), 2600-2649, 2024 | 16 | 2024 |
| Statistical inference for rough volatility: Minimax theory CH Chong, M Hoffmann, Y Liu, M Rosenbaum, G Szymanski Available at SSRN 4236905, 2022 | 16 | 2022 |
| Optimal estimation of the rough Hurst parameter in additive noise G Szymanski Stochastic Processes and their Applications 170, 104302, 2024 | 11 | 2024 |
| Asymptotic Efficiency for Fractional Brownian Motion with general noise G Szymanski, T Takabatake arXiv preprint arXiv:2311.18669, 2023 | 1 | 2023 |
| The two square root laws of market impact and the role of sophisticated market participants B Durin, M Rosenbaum, G Szymanski arXiv preprint arXiv:2311.18283, 2023 | 1 | 2023 |
| Estimation of the invariant measure of a multidimensional diffusion from noisy observations R Maillet, G Szymanski arXiv preprint arXiv:2404.12181, 2024 | | 2024 |
| STATISTICAL INFERENCE FOR ROUGH VOLATILITY: CENTRAL LIMIT THEOREMS BY CARSTEN CHONG, MARC HOFFMANN 2, b YANGHUI LIU 3, c M ROSENBAUM, G SZYMANSKI arXiv preprint arXiv:2210.01216, 2022 | | 2022 |
