Testing and inference for fixed times of discontinuity in semimartingales
DOI10.3150/20-BEJ1211zbMath1471.62343OpenAlexW3080459251MaRDI QIDQ2203627
Publication date: 7 October 2020
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.bj/1598493635
bootstrapoptionsjumpsstochastic volatilitystable convergencenonparametric inferencetime-changed Lévy processfixed time of discontinuity
Processes with independent increments; Lévy processes (60G51) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Generalizations of martingales (60G48) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Related Items (1)
Cites Work
- Unnamed Item
- Unnamed Item
- Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility
- Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps
- Estimation of the activity of jumps in time-changed Lévy models
- Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps
- Confidence sets in nonparametric calibration of exponential Lévy models
- Lévy matters IV. Estimation for discretely observed Lévy processes
- Estimating time-changes in noisy Lévy models
- Quantile estimation for Lévy measures
- Statistical inference for time-changed Lévy processes via composite characteristic function estimation
- Nonparametric implied Lévy densities
- On the optimal rates of convergence for nonparametric deconvolution problems
- Spectral calibration of exponential Lévy models
- Affine processes and applications in finance
- Abelian theorems for stochastic volatility models with application to the estimation of jump activity
- Jackknife, bootstrap and other resampling methods in regression analysis
- Weak convergence and empirical processes. With applications to statistics
- Calibration of self-decomposable Lévy models
- Forward equations for option prices in semimartingale models
- A NEW LOOK AT SHORT-TERM IMPLIED VOLATILITY IN ASSET PRICE MODELS WITH JUMPS
- Change of Time and Change of Measure
- Small-Time Asymptotics of Option Prices and First Absolute Moments
- Nonparametric estimation of time-changed Lévy models under high-frequency data
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Short-time at-the-money skew and rough fractional volatility
- Optimal positioning in derivative securities
- THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
- Short-Term At-the-Money Asymptotics under Stochastic Volatility Models
This page was built for publication: Testing and inference for fixed times of discontinuity in semimartingales
