Work

Quadratic variations of rough generalized Hermite processes: hidden long memory and a universal Gaussian boundary field

Year: 2026

Type: preprint

Abstract: We study centered quadratic variations of fractionally filtered generalized Hermite processes. For every chaos order $q\ge2$, every admissible anisotropic monomial kernel $g_{\boldsymbolγ}$, and every fixed $0

Source: arXiv (Cornell University)

DOI: 10.48550/arxiv.2609.27789

Author: Assaad, Obayda Julien

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W7214233946

Cites: 23

Cited by:

Related to: 10