Abelian theorems for stochastic volatility models with application to the estimation of jump activity

DOI10.1016/j.spa.2012.08.015zbMath1282.60083OpenAlexW1989889746MaRDI QIDQ1761482

Xianqiang Yang

Publication date: 15 November 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2012.08.015

zbMATH Keywords

Blumenthal-Getoor indexabelian theoremaffine stochastic volatility model

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05)

Related Items (6)

Estimation of the activity of jumps in time-changed Lévy models ⋮ Testing and inference for fixed times of discontinuity in semimartingales ⋮ Minimax rates for the covariance estimation of multi-dimensional Lévy processes with high-frequency data ⋮ Estimation and Calibration of Lévy Models via Fourier Methods ⋮ Efficient estimation of integrated volatility in presence of infinite variation jumps ⋮ Jump activity estimation for pure-jump semimartingales via self-normalized statistics

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