---
title: An Itô-type Formula: High Frequency Estimation under Rough Volatility
url: https://www.ml-quant.com/papers/ssrn/7615661/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-10-16
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 7615661
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7615661
featured: 2026-10-16
citations: unknown
topic: Econometrics & 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.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7615661
- Identifier: SSRN 7615661
- Released: 2026-10-15
- First featured: Quant Letter No. 135 (2026-10-16): https://www.ml-quant.com/issues/2026-10-16/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Econometrics & Forecasting
- Authors: Haijian GUO, Dachuan Chen, Chenxu Li, Lan Zhang, Per A. Mykland

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