Bayesian inference on volatility in the presence of infinite jump activity and microstructure noise

DOI10.1214/20-EJS1794zbMath1459.62203arXiv1909.04853MaRDI QIDQ2219235

José E. Figueroa-López, Todd A. Kuffner, Qi Wang

Publication date: 19 January 2021

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1909.04853

zbMATH Keywords

Bernstein-von Mises theorem; microstructure noise; Itô semimartingales; semiparametric and high-frequency inference

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

62M09: Non-Markovian processes: estimation

62F15: Bayesian inference

60G48: Generalizations of martingales

Related Items

Review of statistical approaches for modeling high-frequency trading data, Estimation of tempered stable Lévy models of infinite variation

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Nonparametric tests for pathwise properties of semimartingales
• Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
• Discretization of processes.
• Realised quantile-based estimation of the integrated variance
• Quasi-maximum likelihood estimation of volatility with high frequency data
• Bipower-type estimation in a noisy diffusion setting
• Gibbs posterior for variable selection in high-dimensional classification and data mining
• Small-time moment asymptotics for Lévy processes
• Efficient asymptotic variance reduction when estimating volatility in high frequency data
• `Purposely misspecified' posterior inference on the volatility of a jump diffusion process
• Optimum thresholding using mean and conditional mean squared error
• The Bernstein-von Mises theorem under misspecification
• On the validity of the formal Edgeworth expansion for posterior densities
• Testing for pure-jump processes for high-frequency data
• Microstructure noise in the continuous case: the pre-averaging approach
• Estimation of a noisy subordinated Brownian motion via two-scales power variations
• Asymptotic properties of realized power variations and related functionals of semimartingales
• Efficient estimation of integrated volatility in presence of infinite variation jumps
• Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
• Parametric Estimation of Lévy Processes
• Inference for Lévy-Driven Stochastic Volatility Models via Adaptive Sequential Monte Carlo
• MCMC ESTIMATION OF LÉVY JUMP MODELS USING STOCK AND OPTION PRICES
• Information-theoretic upper and lower bounds for statistical estimation
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
• Bootstrapping Realized Volatility
• Diffusions with measurement errors. I. Local Asymptotic Normality
• Diffusions with measurement errors. II. Optimal estimators
• Jump and Volatility Dynamics for the S&P 500: Evidence for Infinite-Activity Jumps with Non-Affine Volatility Dynamics from Stock and Option Markets*
• Financial Modelling with Jump Processes
• Bootstrapping volatility functionals: a local and nonparametric perspective
• Asymptotic properties of power variations of Lévy processes
• A Tale of Two Time Scales