Concepedia

Mikko S. Pakkanen

MS

11

Publications

336

Citations

10

H-Index

2010

Active since

Affiliations

Aarhus University(Current)

Imperial College London

Mikko S. Pakkanen is an author at Aarhus University specializing in engineering, business, and statistical inference.

Top concepts

EngineeringBusinessStatisticsStatistical InferenceFinanceProbabilityAsset PricingVolatility ModelingMultivariate Stochastic VolatilityPrice

Publications per year

2010–2022

11

Publications

11

Decoupling the Short- and Long-Term Behavior of Stochastic Volatility

Mikkel Bennedsen, Asger Lunde, Mikko S. Pakkanen · SSRN Electronic Journal · 2016 · 87 citations · Full text

Asymptotic theory for Brownian semi-stationary processes with application to turbulence

José Manuel Corcuera, Emil Hedevang, Mikko S. Pakkanen et al. · Stochastic Processes and their Applications · 2013 · 59 citations

Engineering, Stochastic Processes, Stochastic Dynamical System +4

Pathwise large deviations for the rough Bergomi model

Antoine Jacquier, Mikko S. Pakkanen, Henry W. Stone · Journal of Applied Probability · 2018 · 43 citations · Full text

A GMM approach to estimate the roughness of stochastic volatility

Anine E. Bolko, Kim Christensen, Mikko S. Pakkanen et al. · Journal of Econometrics · 2022 · 35 citations · Full text

Volatility Modeling, Multivariate Stochastic Volatility, Fractional Brownian Motion +14

Assessing relative volatility/ intermittency/energy dissipation

Ole E. Barndorff–Nielsen, Mikko S. Pakkanen, Jürgen Schmiegel · Electronic Journal of Statistics · 2014 · 33 citations · Full text

Volatility Modeling, Engineering, Measurement +18

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