Truncated realized covariance when prices have infinite variation jumps

DOI10.1016/J.SPA.2016.09.008MaRDI QIDQ2359710zbMATH OpenOpenAlexFDO

Authors Cecilia Mancini

Publication date 22 June 2017

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL http://www.disei.unifi.it/upload/sub/pubblicazioni/repec/flo/workingpapers/diseiwpme/dimadwp2015-02.pdf

zbMATH Keywords

Brownian correlation coefficientco-jumpintegrated covariationLévy copulasemimartingalesthreshold estimator

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Generalizations of martingales (60G48) Brownian motion (60J65) Estimation in multivariate analysis (62H12) Non-Markovian processes: estimation (62M09) Stochastic models in economics (91B70)

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Cites work

• A remark on the rates of convergence for integrated volatility estimation in the presence of jumps
• Asymptotic properties of realized power variations and related functionals of semimartingales
• Characterization of dependence of multidimensional Lévy processes using Lévy copulas
• Efficient estimation of integrated volatility in presence of infinite variation jumps
• Estimating the degree of activity of jumps in high frequency data
• Financial Modelling with Jump Processes
• Handbook of Volatility Models and Their Applications
• scientific article; zbMATH DE number 3947305 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS
• Measuring the relevance of the microstructure noise in financial data
• Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
• Nonparametric tests for pathwise properties of semimartingales
• Statistics and high-frequency data
• Testing whether jumps have finite or infinite activity
• The speed of convergence of the threshold estimator of integrated variance

Cited in

(2)

• Minimax rates for the covariance estimation of multi-dimensional Lévy processes with high-frequency data
• A Lepskiĭ-type stopping rule for the covariance estimation of multi-dimensional Lévy processes

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