Inference for the jump part of quadratic variation of Itô semimartingales

DOI10.1017/S0266466609100014MaRDI QIDQ3557544zbMATH OpenOpenAlexFDO

Authors Almut E. D. Veraart

Publication date 23 April 2010

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466609100014

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Asymptotic properties of parametric tests (62F05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites work

• A Tale of Two Time Scales
• Asymptotic error distributions for the Euler method for stochastic differential equations
• Asymptotic properties of realized power variations and related functionals of semimartingales
• Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Estimating stochastic volatility diffusion using conditional moments of integrated volatility
• Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing
• Estimation of continuous-time stochastic volatility models with jumps using high-frequency data
• Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
• LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
• Limit theorems for multipower variation in the presence of jumps
• Long memory in continuous-time stochastic volatility models
• Microstructure Noise, Realized Variance, and Optimal Sampling
• Pricing options on realized variance
• Semi-Parametric Comparison of Stochastic Volatility Models using Realized Measures
• Testing for common arrivals of jumps for discretely observed multidimensional processes
• Testing for jumps in a discretely observed process
• The Distribution of Realized Exchange Rate Volatility

Cited in

(13)

• A universal approach to estimate the conditional variance in semimartingale limit theorems
• Stochastic volatility and stochastic leverage
• Estimating fast mean-reverting jumps in electricity market models
• Second-order properties of thresholded realized power variations of FJA additive processes
• Likelihood estimation of Lévy-driven stochastic volatility models through realized variance measures
• Bipower Variation for Gaussian Processes with Stationary Increments
• How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?
• Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps
• Spot volatility estimation using delta sequences
• Estimating spot volatility with high-frequency financial data
• Estimation of the instantaneous volatility
• ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS
• scientific article; zbMATH DE number 1861596 (Why is no real title available?)

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