INFERENCE FOR THE JUMP PART OF QUADRATIC VARIATION OF ITÔ SEMIMARTINGALES
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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 (12)
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
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