Second-order properties of thresholded realized power variations of FJA additive processes
DOI10.1007/s11203-019-09198-wzbMath1434.62038WikidataQ128094896 ScholiaQ128094896MaRDI QIDQ2330961
José E. Figueroa-López, Jeffrey A. Nisen
Publication date: 23 October 2019
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11203-019-09198-w
Lévy processes; additive processes; nonparametric estimation; integrated variance estimation; jump features estimation; multipower realized variations; truncated realized variations
62H12: Estimation in multivariate analysis
62G20: Asymptotic properties of nonparametric inference
62G05: Nonparametric estimation
60J76: Jump processes on general state spaces
60G65: Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes)
Related Items
Cites Work
- Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility
- No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications
- Testing for jumps when asset prices are observed with noise -- a ``swap variance approach
- Nonparametric tests for pathwise properties of semimartingales
- Discretization of processes.
- Realised quantile-based estimation of the integrated variance
- Threshold bipower variation and the impact of jumps on volatility forecasting
- Testing and detecting jumps based on a discretely observed process
- Estimating the degree of activity of jumps in high frequency data
- Testing for jumps in a discretely observed process
- Optimum thresholding using mean and conditional mean squared error
- Estimation of the characteristics of a Lévy process
- Optimally thresholded realized power variations for Lévy jump diffusion models
- Asymptotic properties of realized power variations and related functionals of semimartingales
- Limit theorems for multipower variation in the presence of jumps
- Limit theorems for bipower variation of semimartingales
- Efficient Estimation of Integrated Volatility in Presence of Infinite Variation Jumps with Multiple Activity Indices
- Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
- INFERENCE FOR THE JUMP PART OF QUADRATIC VARIATION OF ITÔ SEMIMARTINGALES
- Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model
- Unnamed Item
- Unnamed Item
