- Profile
- Faculty and staff
- Research
- Education
- Talent development
- Business collaboration
- Vacancies
- News and events
- Visitor information
- Contact
Mikko Pakkanen
International Fellow
Department of Economics and Business Economics
Fuglesangs Allé 4
8210 Aarhus V
Denmark
Department of Economics and Business Economics - CREATES
Fuglesangs Allé 4
8210 Aarhus V
Denmark
Research areas
- Nature and Technology > Statistics > Probability theory Stochastic analysis Ambit stochastics Financial mathematics
- Business and economics > Econometrics > Other areas of econometrics Volatility estimation
- Accepted/In press
A GMM approach to estimate the roughness of stochastic volatility
Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
- E-pub ahead of print
Decoupling the Short- and Long-Term Behavior of Stochastic Volatility
Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures
Research output: Working paper/Preprint › Working paper
Realized volatility in the context of multiparameter processes
Activity: Talk or presentation types › Lecture and oral contribution
Volatility estimation for ambit fields
Activity: Talk or presentation types › Lecture and oral contribution
Volatility estimation for ambit fields
Activity: Talk or presentation types › Lecture and oral contribution
ID: 44444737