Variational sums and power variation: a unifying approach to model selection and estimation in semimartingale models

DOI10.1524/STND.21.1.47.20316zbMATH Open1046.62084OpenAlexW1521617046MaRDI QIDQ4454295FDOQ4454295

Authors: Jeannette Woerner 

Publication date: 8 March 2004

Published in: Statistics & Decisions (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/da6d8d39a176311bacc71426699a23b0da99edbe

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zbMATH Keywords

model selectionlimit theoremsemimartingalespower variationLévy processquadratiic variation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Generalizations of martingales (60G48) Limit theorems in probability theory (60F99)

Cited In (41)

• Volatility estimation of Gaussian Ornstein-Uhlenbeck processes of the second kind
• A law of iterated logarithm for the subfractional Brownian motion and an application
• Small-time moment asymptotics for Lévy processes
• Sup-norm convergence rates for Lévy density estimation
• Volatility estimation of general Gaussian Ornstein-Uhlenbeck process
• Inference in Lévy-type stochastic volatility models
• Power and multipower variation: inference for high frequency data
• Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity
• Sieve-based confidence intervals and bands for Lévy densities
• Power variation of some integral fractional processes
• Power variation for Gaussian processes with stationary increments
• Monitoring disruptions in financial markets
• Small-time expansions for the transition distributions of Lévy processes
• Intermittency in the small-time behavior of Lévy processes
• A Functional Central Limit Theorem for the Realized Power Variation of Integrated Stable Processes
• Central limit theorems for the non-parametric estimation of time-changed Lévy models
• Statistical inference for time-changed Lévy processes via composite characteristic function estimation
• On estimation of quadratic variation for multivariate pure jump semimartingales
• Power variations and limit theorems for stochastic processes controlled by fractional Brownian motions
• Power variation from second order differences for pure jump semimartingales
• Jump activity estimation for pure-jump semimartingales via self-normalized statistics
• Estimating Jump Activity Using Multipower Variation
• Limit theorems for integrated local empirical characteristic exponents from noisy high-frequency data with application to volatility and jump activity estimation
• A unifying approach to fractional Lévy processes
• On limit theory for Lévy semi-stationary processes
• Estimation and Calibration of Lévy Models via Fourier Methods
• Central limit theorems for power variation of Gaussian integral processes with jumps
• Nonparametric inference for the spectral measure of a bivariate pure-jump semimartingale
• Bipower Variation for Gaussian Processes with Stationary Increments
• Inference for option panels in pure-jump settings
• Limit theorems for power variations of pure-jump processes with application to activity estima\-tion
• A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation
• Volatility estimation in fractional Ornstein-Uhlenbeck models
• Power variation and stochastic volatility: a review and some new results
• Nonparametric estimation of time-changed Lévy models under high-frequency data
• Predicting volatility: getting the most out of return data sampled at different frequencies
• Inference on the Lévy measure in case of noisy observations
• Power variation of multiple fractional integrals
• Modeling high-frequency financial data by pure jump processes
• Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing
• Power variation of fractional integral processes with jumps

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