Estimating time-changes in noisy Lévy models

DOI10.1214/14-AOS1250zbMATH Open1305.62387arXiv1312.5911MaRDI QIDQ480983FDOQ480983

Authors: Adam D. Bull 

Publication date: 12 December 2014

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: In quantitative finance, we often model asset prices as a noisy Ito semimartingale. As this model is not identifiable, approximating by a time-changed Levy process can be useful for generative modelling. We give a new estimate of the normalised volatility or time change in this model, which obtains minimax convergence rates, and is unaffected by infinite-variation jumps. In the semimartingale model, our estimate remains accurate for the normalised volatility, obtaining convergence rates as good as any previously implied in the literature.

Full work available at URL: https://arxiv.org/abs/1312.5911

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zbMATH Keywords

microstructure noisevolatilitytime-changeLévy processItō semimartingale

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35) Applications of statistics to economics (62P20)

Cited In (10)

• Higher-order small time asymptotic expansion of Itô semimartingale characteristic function with application to estimation of leverage from options
• Near-optimal estimation of jump activity in semimartingales
• Financial activity time
• Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes
• Estimation of the activity of jumps in time-changed Lévy models
• Statistical inference for time-changed Lévy processes via Mellin transform approach
• Method of moment estimation in time-changed Lévy models
• Parametric inference for discretely observed subordinate diffusions
• Inference on the Lévy measure in case of noisy observations
• Testing and inference for fixed times of discontinuity in semimartingales

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