INFERENCE FOR OPTION PANELS IN PURE-JUMP SETTINGS

DOI10.1017/S0266466618000373zbMath1432.62356OpenAlexW2896975181WikidataQ129083447 ScholiaQ129083447MaRDI QIDQ5243484

Nicola Fusari, Viktor Todorov, Torben G. Andersen, Rasmus T. Varneskov

Publication date: 18 November 2019

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466618000373

zbMATH Keywords

high-frequency return datalarge panels of noisy option dataparametric inference proceduresprocess of pure-jump type

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: estimation (62M09) Jump processes on discrete state spaces (60J74)

Related Items (4)

Bootstrapping Laplace transforms of volatility ⋮ Inference for local distributions at high sampling frequencies: a bootstrap approach ⋮ SPATIAL DEPENDENCE IN OPTION OBSERVATION ERRORS ⋮ Informative option portfolios in filter design for option pricing models

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