Efficient Estimation of Integrated Volatility in Presence of Infinite Variation Jumps with Multiple Activity Indices
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Publication:2956058
DOI10.1007/978-3-319-25826-3_15zbMath1354.60019MaRDI QIDQ2956058
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
jumps; central limit theorem; quadratic variation; stable process; jump activity; integrated volatility; Itō semimartingale
60G51: Processes with independent increments; Lévy processes
60F05: Central limit and other weak theorems
60G07: General theory of stochastic processes
60F17: Functional limit theorems; invariance principles
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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