Efficient estimation of integrated volatility in presence of infinite variation jumps
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Publication:2510826
DOI10.1214/14-AOS1213zbMath1305.62146arXiv1405.7483OpenAlexW2024428219MaRDI QIDQ2510826
Publication date: 4 August 2014
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1405.7483
Processes with independent increments; Lévy processes (60G51) Nonparametric estimation (62G05) Central limit and other weak theorems (60F05) Diffusion processes (60J60) Functional limit theorems; invariance principles (60F17)
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Cites Work
- Realized Laplace transforms for pure-jump semimartingales
- Limit theorems for power variations of pure-jump processes with application to activity estima\-tion
- The speed of convergence of the threshold estimator of integrated variance
- Spectral estimation of the Lévy density in partially observed affine models
- Nonparametric estimation for Lévy processes from low-frequency observations
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- Nonparametric estimation for a class of Lévy processes
- Estimating the degree of activity of jumps in high frequency data
- Abelian theorems for stochastic volatility models with application to the estimation of jump activity
- Testing the characteristics of a Lévy process
- Limit theorems for multipower variation in the presence of jumps
- A remark on the rates of convergence for integrated volatility estimation in the presence of jumps
- Limit theorems for bipower variation of semimartingales
- The Realized Laplace Transform of Volatility
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