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Carsten Chong

Hong Kong University of Science and Technology (from arXiv:2407.10659, 2024) · ORCID · OpenAlex

22 papers in scope · 22 published · 2 on the econ.EM arXiv · 220 citations · h-index 9 (over the papers listed here)

Related authors

The 20 authors closest to this one in our weighted citation graph, most related first.

  1. Giacomo Toscano
  2. Viktor Todorov
  3. Stefano Marmi
  4. Maria Elvira Mancino
  5. Giulia Livieri
  6. Zhao Chen
  7. Christina Dan Wang
  8. Ilze Kalnina
  9. Kokouvi Tewou
  10. Qiang Liu
  11. Zhi Liu
  12. Simona Sanfelici
  13. Zhou Wang
  14. Tetsuya Takabatake
  15. Chen Zhang
  16. Jun Yu
  17. José E. Figueroa-López
  18. Bei Wu
  19. Ruijun Bu
  20. Hanchao Wang

Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md.

Papers

(2 of 22)

Testing for Rough Volatility When Prices Are Purely Discontinuous
published2026 · Journal of Time Series Analysis
with Viktor Todorov
Journal of Time Series Analysis
Pre-averaging fractional processes contaminated by noise, with an application to turbulence
published2025 · Journal of Applied Probability · 3 citations · first circulated 2022
with David Chen, Yu Cheng, Pierre Gentine, Wangdong Jia, Bryce J. Monier, Shiyang Shen
Journal of Applied Probability
Asymptotic expansions for high-frequency option data
published2025 · The Annals of Applied Probability · 2 citations · first circulated 2023
with Viktor Todorov
The Annals of Applied Probability
Nonparametric Test for Rough Volatility
published2025 · Journal of the American Statistical Association · 4 citations · first circulated 2024
with Viktor Todorov
Paper profile Journal of the American Statistical Association arXiv:2407.10659
Short-time expansion of characteristic functions in a rough volatility setting with applications
published2025 · Bernoulli · 4 citations · first circulated 2022
with Viktor Todorov
Bernoulli
Rate-optimal estimation of mixed semimartingales
published2025 · The Annals of Statistics · 8 citations · first circulated 2022
with Thomas Delerue, Fabian Mies
The Annals of Statistics
When Frictions Are Fractional: Rough Noise in High-Frequency Data
published2024 · Journal of the American Statistical Association · 8 citations · first circulated 2021
with Thomas Delerue, Guoying Li
Journal of the American Statistical Association
Statistical inference for rough volatility: Minimax theory
published2024 · The Annals of Statistics · 6 citations · first circulated 2022
with Marc Hoffmann, Yanghui Liu, Mathieu Rosenbaum, Grégoire Szymansky, Grégoire Szymanski
The Annals of Statistics
Statistical inference for rough volatility: Central limit theorems
published2024 · The Annals of Applied Probability · 12 citations · first circulated 2022
with Marc Hoffmann, Yanghui Liu, Mathieu Rosenbaum, Grégoire Szymanski
The Annals of Applied Probability
Volatility of volatility and leverage effect from options
published2024 · Journal of Econometrics · 9 citations · first circulated 2023
with Viktor Todorov
Paper profile Journal of Econometrics arXiv:2305.04137
The Stochastic Heat Equation with Multiplicative Lévy Noise: Existence, Moments, and Intermittency
published2023 · Communications in Mathematical Physics · 3 citations · first circulated 2021
with Quentin Berger, Hubert Lacoin
Communications in Mathematical Physics
A landscape of peaks: The intermittency islands of the stochastic heat equation with Lévy noise
published2023 · The Annals of Probability · 2 citations · first circulated 2022
with Péter Kevei
The Annals of Probability
Power variations in fractional Sobolev spaces for a class of parabolic stochastic PDEs
published2023 · Bernoulli · 9 citations
with Robert C. Dalang
Bernoulli
Extremes of the stochastic heat equation with additive Lévy noise
published2022 · Electronic Journal of Probability · 3 citations
with Péter Kevei
Electronic Journal of Probability
The almost-sure asymptotic behavior of the solution to the stochastic heat equation with Lévy noise
published2020 · The Annals of Probability · 10 citations
with Péter Kevei
The Annals of Probability
High-frequency analysis of parabolic stochastic PDEs
published2020 · The Annals of Statistics · 49 citations · first circulated 2019
The Annals of Statistics
Intermittency for the stochastic heat equation with Lévy noise
published2019 · The Annals of Probability · 15 citations · first circulated 2017
with Péter Kevei
The Annals of Probability
Partial mean field limits in heterogeneous networks
published2019 · Stochastic Processes and their Applications · 10 citations
with Claudia Klüppelberg
Stochastic Processes and their Applications
Volterra-type Ornstein–Uhlenbeck processes in space and time
published2017 · Stochastic Processes and their Applications · 5 citations
with Viet Son Pham
Stochastic Processes and their Applications
Stochastic PDEs with heavy-tailed noise
published2016 · Stochastic Processes and their Applications · 25 citations
Stochastic Processes and their Applications
Integrability conditions for space–time stochastic integrals: Theory and applications
published2015 · Bernoulli · 29 citations
with Claudia Klüppelberg
Bernoulli
Superposition of COGARCH processes
published2014 · Stochastic Processes and their Applications · 4 citations · first circulated 2013
with Anita Behme, Claudia Klüppelberg
Stochastic Processes and their Applications

Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.