INFERENCE FOR THE JUMP PART OF QUADRATIC VARIATION OF ITÔ SEMIMARTINGALES
From MaRDI portal
Publication:3557544
DOI10.1017/S0266466609100014zbMath1202.62142OpenAlexW3121693897MaRDI QIDQ3557544
Publication date: 23 April 2010
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466609100014
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Asymptotic properties of parametric tests (62F05)
Related Items
A universal approach to estimate the conditional variance in semimartingale limit theorems ⋮ Estimation of the instantaneous volatility ⋮ How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps? ⋮ Stochastic volatility and stochastic leverage ⋮ Estimating spot volatility with high-frequency financial data ⋮ Estimating fast mean-reverting jumps in electricity market models ⋮ Likelihood estimation of Lévy‐driven stochastic volatility models through realized variance measures ⋮ ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS ⋮ Bipower Variation for Gaussian Processes with Stationary Increments ⋮ Second-order properties of thresholded realized power variations of FJA additive processes ⋮ Spot volatility estimation using delta sequences ⋮ Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps
Cites Work
- Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
- Estimation of continuous-time stochastic volatility models with jumps using high-frequency data
- Testing for jumps in a discretely observed process
- Asymptotic error distributions for the Euler method for stochastic differential equations
- Estimating stochastic volatility diffusion using conditional moments of integrated volatility
- Testing for common arrivals of jumps for discretely observed multidimensional processes
- Asymptotic properties of realized power variations and related functionals of semimartingales
- Pricing options on realized variance
- Limit theorems for multipower variation in the presence of jumps
- Long memory in continuous-time stochastic volatility models
- LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
- Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing
- Microstructure Noise, Realized Variance, and Optimal Sampling
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- The Distribution of Realized Exchange Rate Volatility
- Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
- Semi-Parametric Comparison of Stochastic Volatility Models using Realized Measures
- A Tale of Two Time Scales
