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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
Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures
Research output: Working paper › Research
- Published
Hybrid simulation scheme for volatility modulated moving average fields
Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
- Published
The local fractional bootstrap
Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
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