Limit theorems for integrated local empirical characteristic exponents from noisy high-frequency data with application to volatility and jump activity estimation

DOI10.1214/17-AAP1311zbMath1391.60044OpenAlexW2793263831WikidataQ130161059 ScholiaQ130161059MaRDI QIDQ1751974

Jean Jacod, Viktor Todorov

Publication date: 25 May 2018

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/17-aap1311

zbMATH Keywords

jumpscentral limit theoremempirical characteristic functionquadratic variationstable processBlumenthal-Getoor indexjump activitymicrostructure noiseintegrated volatilityirregular samplingItô semimartingale

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Central limit and other weak theorems (60F05) General theory of stochastic processes (60G07) Functional limit theorems; invariance principles (60F17)

Related Items (11)

IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS ⋮ Volatility measurement with pockets of extreme return persistence ⋮ ETF basket-adjusted covariance estimation ⋮ On the estimation of the jump activity index in the case of random observation times ⋮ Identifying latent factors based on high-frequency data ⋮ Bias reduction in spot volatility estimation from options ⋮ Convergence of extreme values of Poisson point processes at small times ⋮ Higher-order small time asymptotic expansion of Itô semimartingale characteristic function with application to estimation of leverage from options ⋮ Laws of large numbers for Hayashi-Yoshida-type functionals ⋮ Estimation of volatility in a high-frequency setting: a short review ⋮ INFERENCE FOR OPTION PANELS IN PURE-JUMP SETTINGS

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