Constructs QMLE for drift parameter in singular Volterra SDE with small diffusion, proving path reconstruction error O(h^{1/2}) independent of roughness α and yielding efficient estimator as ε→0.
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Extends rough fractional stochastic volatility to a multivariate fOU model with GMM estimation, simulation validation, and empirical analysis of realized volatility series showing correlations and spillover effects.
Constructs a consistent and asymptotically normal trajectory fitting estimator for the drift parameter θ* in singular-kernel stochastic Volterra equations under small-noise asymptotics.
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Multivariate Rough Volatility
Extends rough fractional stochastic volatility to a multivariate fOU model with GMM estimation, simulation validation, and empirical analysis of realized volatility series showing correlations and spillover effects.