Inference in Lévy-type stochastic volatility models

DOI10.1239/aap/1183667622zbMath1127.62104OpenAlexW2020182481MaRDI QIDQ3590750

Jeannette H. C. Woerner

Publication date: 3 September 2007

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aap/1183667622

zbMATH Keywords

Levy processintegrated volatilitymultipower variation estimator

Mathematics Subject Classification ID

Related Items (17)

Central Limit Theorems for the Non-Parametric Estimation of Time-Changed Lévy Models ⋮ Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes ⋮ Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models ⋮ A high-low based omnibus test for symmetry, the Lévy property, and other hypotheses on intraday returns ⋮ Nonparametric inference for the spectral measure of a bivariate pure-jump semimartingale ⋮ Power variation from second order differences for pure jump semimartingales ⋮ Statistical estimation of Lévy-type stochastic volatility models ⋮ Asymptotically optimal discretization of hedging strategies with jumps ⋮ Small-time compactness and convergence behavior of deterministically and self-normalised Lévy processes ⋮ Nonparametric estimation of time-changed Lévy models under high-frequency data ⋮ Limit theorems for power variations of pure-jump processes with application to activity estima\-tion ⋮ Asymptotic results for time-changed Lévy processes sampled at hitting times ⋮ Jump activity estimation for pure-jump semimartingales via self-normalized statistics ⋮ Bipower Variation for Gaussian Processes with Stationary Increments ⋮ A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation ⋮ Limit theorems for the empirical distribution function of scaled increments of Itô semimartingales at high frequencies ⋮ INFERENCE FOR OPTION PANELS IN PURE-JUMP SETTINGS

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