Estimation of continuous-time stochastic volatility models with jumps using high-frequency data
From MaRDI portal
Publication:301970
DOI10.1016/j.jeconom.2008.10.005zbMath1429.62480MaRDI QIDQ301970
Publication date: 4 July 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.10.005
jump processes; continuous-time stochastic volatility models; method-of-moments estimation; realized multipower variation
60G51: Processes with independent increments; Lévy processes
62P05: Applications of statistics to actuarial sciences and financial mathematics
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
91B70: Stochastic models in economics
Related Items
NONPARAMETRIC STOCHASTIC VOLATILITY, Evolution of high-frequency systematic trading: a performance-driven gradient boosting model, Robust estimation of stationary continuous‐time arma models via indirect inference, Factorization and discrete-time representation of multivariate CARMA processes, Parameter estimation in optional semimartingale regression models, A GMM approach to estimate the roughness of stochastic volatility, Volatility analysis with realized GARCH-Itô models, Inference theory for volatility functional dependencies, Stochastic volatility and stochastic leverage, Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration, Statistical properties and economic implications of jump-diffusion processes with shot-noise effects, Realized Laplace transforms for estimation of jump diffusive volatility models, Prediction-based estimating functions for stochastic volatility models with noisy data: comparison with a GMM alternative, Asymptotic inference about predictive accuracy using high frequency data, Noise recovery for Lévy-driven CARMA processes and high-frequency behaviour of approximating Riemann sums, Parametric estimation for discretely observed stochastic processes with jumps, Efficient estimation and filtering for multivariate jump-diffusions, Multivariate stochastic delay differential equations and CAR representations of CARMA processes, Quasi-maximum likelihood estimation for cointegrated continuous-time linear state space models observed at low frequencies, A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation, Inference for local distributions at high sampling frequencies: a bootstrap approach, The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing, Long-term time-dependent stochastic modelling of extreme waves, On non-negative modeling with CARMA processes, COMPUTATION OF VOLATILITY IN STOCHASTIC VOLATILITY MODELS WITH HIGH FREQUENCY DATA, Dependence Estimation for High-frequency Sampled Multivariate CARMA Models, Asymptotic Inference for Jump Diffusions with State-Dependent Intensity, ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING, A Mathematical Theory of Financial Bubbles, Limit Theory for High Frequency Sampled MCARMA Models, INFERENCE FOR THE JUMP PART OF QUADRATIC VARIATION OF ITÔ SEMIMARTINGALES
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
- Calcul stochastique et problèmes de martingales
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
- Econometric analysis of jump-driven stochastic volatility models
- Estimating the degree of activity of jumps in high frequency data
- Ergodicity and exponential \(\beta\)-mixing bounds for multidimensional diffusions with jumps
- Tempering stable processes
- Strong approximations of stochastic differential equations with jumps
- Testing for jumps in a discretely observed process
- Spectral representations of infinitely divisible processes
- The Euler scheme for Lévy driven stochastic differential equations
- On multidimensional Ornstein-Uhlenbeck processes driven by a general Lévy process
- Estimating stochastic volatility diffusion using conditional moments of integrated volatility
- The Euler scheme for Lévy driven stochastic differential equations: limit theorems.
- Asymptotic properties of realized power variations and related functionals of semimartingales
- Limit theorems for multipower variation in the presence of jumps
- Activity signature functions for high-frequency data analysis
- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
- Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Power Variation and Time Change
- Semi-Parametric Comparison of Stochastic Volatility Models using Realized Measures
- A Tale of Two Time Scales
- Lévy-driven CARMA processes
