Efficient Estimation of Integrated Volatility in Presence of Infinite Variation Jumps with Multiple Activity Indices

DOI10.1007/978-3-319-25826-3_15zbMath1354.60019OpenAlexW2256006675MaRDI QIDQ2956058

Viktor Todorov, Jean Jacod

Publication date: 16 January 2017

Published in: The Fascination of Probability, Statistics and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-25826-3_15

zbMATH Keywords

jumpscentral limit theoremquadratic variationstable processjump activityintegrated volatilityItō 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)

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Cites Work

• The speed of convergence of the threshold estimator of integrated variance
• An infinite dimensional convolution theorem with applications to the efficient estimation of the integrated volatility
• Limit theorems for multipower variation in the presence of jumps
• Efficient estimation of integrated volatility in presence of infinite variation jumps
• A remark on the rates of convergence for integrated volatility estimation in the presence of jumps
• Limit theorems for bipower variation of semimartingales
• The Realized Laplace Transform of Volatility
• Fisher's Information for Discretely Sampled Lvy Processes