Publications

Financial Econometrics and Statistics of High-Frequency Data:

23. Chong, C. Hoffmann, M., Liu, Y., Rosenbaum, M., and Szymanski, G. (2022): Statistical inference for rough volatility: Central limit theorems. arXiv SSRN
24. Chong, C. Hoffmann, M., Liu, Y., Rosenbaum, M., and Szymanski, G. (2022): Statistical inference for rough volatility: Minimax theory. arXiv SSRN
25. Chong, C. and Todorov, V. (2022): Short-time expansion of characteristic functions in a rough volatility setting with applications. arXiv SSRN
26. Chong, C., Delerue, T., and Mies, F. (2022): Rate-optimal estimation of mixed semimartingales. Submitted. arXiv SSRN
27. Chong, C., Delerue, T., and Li, G. (2022): When frictions are fractional: Rough noise in high-frequency data. Submitted. arXiv SSRN
28. Chong, C. (2020): High-frequency analysis of parabolic stochastic PDEs. The Annals of Statistics, 48(2):1143–1167. Link
• Chong, C. (2020): Supplement to “High-frequency analysis of parabolic stochastic PDEs”, 60 pp. Link
29. Chong, C. (2019): High-frequency analysis of parabolic stochastic PDEs with multiplicative noise: Part I. Submitted. arXiv

Stochastic Partial Differential Equations:

16. Chong, C., and Dalang, R.C. (2022): Power variations in fractional Sobolev spaces for a class of parabolic stochastic PDEs. Bernoulli, forthcoming. arXiv
17. Chong, C., and Kevei, P. (2022): A landscape of peaks: The intermittency islands of the stochastic heat equation with Lévy noise. Submitted. arXiv
18. Chong, C., and Kevei, P. (2022): Extremes of the stochastic heat equation with additive Lévy noise. Electronic Journal of Probability, 27:21 pages. Link
19. Berger, Q., Chong, C., and Lacoin, H. (2021): The stochastic heat equation with multiplicative Lévy noise: Existence, moments, and intermittency. Submitted. arXiv
20. Chong, C., and Delerue, T. (2020): Normal approximation of the solution to the stochastic heat equation with Lévy noise, Stochastics and Partial Differential Equations: Analysis and Computations, 8(2):362–401. Link
21. Chong, C., and Kevei, P. (2020): The almost-sure asymptotic behavior of the solution to the stochastic heat equation with Lévy noise. The Annals of Probability, 48(3):1466–1494. Link
22. Chong, C., Dalang, R.C., and Humeau, T. (2019): Path properties of the solution to the stochastic heat equation with Lévy noise. Stochastics and Partial Differential Equations: Analysis and Computations, 7(1):123–168. Link
23. Chong, C., and Kevei, P. (2019): Intermittency for the stochastic heat equation with Lévy noise. The Annals of Probability, 47(4):1911–948. Link
24. Chong, C. (2017): Stochastic PDEs with heavy-tailed noise. Stochastic Processes and their Applications, 127(7):2262–2280. Link

Stochastic Analysis and Mathematical Finance:

7. Chong, C., and Klüppelberg, C. (2019): Partial mean field limits in heterogeneous networks, Stochastic Processes and their Applications, 129(12):4998–5036. Link
8. Chong, C., and Klüppelberg, C. (2018): Contagion in financial systems: A Bayesian network approach, SIAM Journal on Financial Mathematics, 9(1):28–53. Link
9. Pham, V.S., and Chong, C. (2018): Volterra-type Ornstein–Uhlenbeck processes in space and time. Stochastic Processes and their Applications, 128(9):3082–3117.
10. Chong, C. (2017): Lévy-driven Volterra equations in space and time. Journal of Theoretical Probability, 30(3):1014–1058. Link
11. Chen, B., Chong, C., and Klüppelberg, C. (2016): Simulation of stochastic Volterra equations driven by space–time Lévy noise. In Podolskij, M., Stelzer, R., Thorbjørnsen, S., and Veraart, A.E.D., editors, A Fascination of Probability, Statistics and their Applications, pages 209–229. Springer, Cham. Link
12. Behme, A., Chong, C., and Klüppelberg, C. (2015): Superposition of COGARCH processes. Stochastic Processes and their Applications, 125(4):1426–1469. Link
13. Chong, C., and Klüppelberg, C. (2015): Integrability conditions for space–time stochastic integrals: Theory and applications, Bernoulli, 21(4):2190–2216. Link