SSRNEconometrics & Forecasting
An Itô-type Formula: High Frequency Estimation under Rough Volatility
A new calculus framework for rough volatility below the semimartingale regime enables bias-corrected estimation of leverage effects and roughness with central limit theorems, rejecting semimartingale assumptions for recent S&P data.
Featured in No. 135 on 16 Oct 2026 · 1 day after release
- Released
- 15 Oct 2026
- First featured
- No. 135 · 16 Oct 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 4 of 5
- Identifier
- SSRN 7615661
- Authors
- Haijian GUO et al.
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).