Projects per year
Personal profile
Research interests
Business & Economics - Financial econometrics
Business & Economics - High-frequency data
Business & Economics - Volatility estimation
Business & Economics - Financial risk management
Business & Economics - Market microstructure
Mathematics & Statistics - Asymptotic statistics
Business & Economics - High-frequency data
Business & Economics - Volatility estimation
Business & Economics - Financial risk management
Business & Economics - Market microstructure
Mathematics & Statistics - Asymptotic statistics
Position Held
MPhil/PhD Programs Coordinator (Operations Management)
Related documents
Education/Academic qualification
PhD in Mathematics, PhD, Technical University of Munich
2015
Expertise related to UN Sustainable Development Goals
In 2015, UN member states agreed to 17 global Sustainable Development Goals (SDGs) to end poverty, protect the planet and ensure prosperity for all. This person’s work contributes towards the following SDG(s):
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SDG 10 Reduced Inequalities
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Dive into the research topics where Carsten Hao Ye CHONG is active. These topic labels come from the works of this person. Together they form a unique fingerprint.
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Collaborations and top research areas from the last five years
Recent external collaboration on country/territory level. Dive into details by clicking on the dots or
Projects
- 1 Active
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Testing for Rough Volatility When Prices Are Purely Discontinuous
Chong, C. H. & Todorov, V., 15 May 2026, In: Journal of Time Series Analysis. 12 p.Research output: Contribution to journal › Journal Article › peer-review
Open Access -
Asymptotic Expansions for High-Frequency Option Data
Chong, C. H. & Todorov, V., Jun 2025, In: Annals of Applied Probability. 35, 3, p. 1941-1979 39 p.Research output: Contribution to journal › Journal Article › peer-review
1 Link opens in a new tab Citation (Scopus) -
Do Equity and Options Markets Agree about Volatility?
CHONG, C. H. Y. & Todorov, V., 2025, (Accepted/In press) In: The Journal of Finance.Research output: Contribution to journal › Journal Article › peer-review
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Nonparametric Test for Rough Volatility
Chong, C. H. & Todorov, V., 2025, In: Journal of the American Statistical Association. 120, 552, p. 2772-2783 12 p.Research output: Contribution to journal › Journal Article › peer-review
5 Link opens in a new tab Citations (Scopus) -
Pre-averaging fractional processes contaminated by noise, with an application to turbulence
Chen, D., Cheng, Y., Chong, C. H., Gentine, P., Jia, W., Monier, B. J. & Shen, S., 1 Dec 2025, In: Journal of Applied Probability. 62, 4, p. 1280-1300 21 p.Research output: Contribution to journal › Journal Article › peer-review
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Do Equity and Options Markets Agree about Volatility?
CHONG, C. H. Y. (Invited speaker)
2025Activity: Talk or presentation › Contributed
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Do Equity and Options Markets Agree about Volatility?
CHONG, C. H. Y. (Invited speaker)
2025 → …Activity: Talk or presentation › Invited
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Robust inference of rough volatility
CHONG, C. H. Y. (Invited speaker)
2025 → …Activity: Talk or presentation › Contributed
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Rough Volatility and the Leverage Effect
CHONG, C. H. Y. (Invited speaker)
2025 → …Activity: Talk or presentation › Contributed
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Do Equity and Options Markets Agree about Volatility?
CHONG, C. H. Y. (Invited speaker)
2025 → …Activity: Talk or presentation › Invited
Awards
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Runner-up for the Bates-White Prize
CHONG, C. H. Y. (Recipient), Jun 2024
Prize: Best Paper Award and Prize