Large deviations of the threshold estimator of integrated (co-)volatility vector in the presence of jumps

DOI10.1007/S10959-017-0759-ZMaRDI QIDQ1800948zbMATH OpenOpenAlexFDO

Authors Hacène Djellout, Hui Jiang

Publication date 26 October 2018

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1504.08264

zbMATH Keywords

realized volatilitydiffusionlarge deviation principlemoderate deviation principlequadratic variationPoisson jumpsthreshold estimatordiscrete-time observationLévy process

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Large deviations (60F10) Discrete-time Markov processes on general state spaces (60J05)

Abstract: Recently a considerable interest has been paid on the estimation problem of the realized volatility and covolatility by using high-frequency data of financial price processes in financial econometrics. Threshold estimation is one of the useful techniques in the inference for jump-type stochastic processes from discrete observations. In this paper, we adopt the threshold estimator introduced by Mancini where only the variations under a given threshold function are taken into account. The purpose of this work is to investigate large and moderate deviations for the threshold estimator of the integrated variance-covariance vector. This paper is an extension of the previous work in Djellout et al. where the problem has been studied in absence of the jump component. We will use the approximation lemma to prove the LDP. As the reader can expect we obtain the same results as in the case without jump.

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Cited in

(12)

• Optimally thresholded realized power variations for Lévy jump diffusion models
• Large deviation principle for an estimator of the diffusion coefficient in a jump-diffusion process
• Estimation of the realized (co-)volatility vector: large deviations approach
• An estimator for the cumulative co‐volatility of asynchronously observed semimartingales with jumps
• Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
• Moderate deviations for estimators of quadratic variational process of diffusion with compound Poisson jumps
• Optimum thresholding using mean and conditional mean squared error
• Self-normalized Cramér-type moderate deviations for explosive Vasicek model
• Asymptotic properties for spot volatility estimation of diffusions with compound Poisson jumps
• The speed of convergence of the threshold estimator of integrated variance
• Large and moderate deviations of realized covolatility
• Large deviations of realized volatility

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