Estimation of a noisy subordinated Brownian motion via two-scales power variations

DOI10.1016/j.jspi.2017.05.004zbMath1376.62019arXiv1702.01164OpenAlexW2616797234MaRDI QIDQ2408746

José E. Figueroa-López, Kiseop Lee

Publication date: 13 October 2017

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1702.01164

zbMATH Keywords

Itô processmicrostructure noisegeometric Lévy modelskurtosis and volatility estimationpower variation estimatorsrobust estimation methods

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Nonparametric robustness (62G35) Nonparametric estimation (62G05) Brownian motion (60J65)

Related Items (2)

Bayesian inference on volatility in the presence of infinite jump activity and microstructure noise ⋮ Optimum thresholding using mean and conditional mean squared error

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