INFERENCE FOR OPTION PANELS IN PURE-JUMP SETTINGS

DOI10.1017/S0266466618000373zbMath1432.62356MaRDI QIDQ5243484

Nicola Fusari, Viktor Todorov, Torben G. Andersen, Rasmus T. Varneskov

Publication date: 18 November 2019

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466618000373

zbMATH Keywords

high-frequency return data; large panels of noisy option data; parametric inference procedures; process of pure-jump type

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62P05: Applications of statistics to actuarial sciences and financial mathematics

62M09: Non-Markovian processes: estimation

60J74: Jump processes on discrete state spaces

Related Items

SPATIAL DEPENDENCE IN OPTION OBSERVATION ERRORS, Informative option portfolios in filter design for option pricing models, Inference for local distributions at high sampling frequencies: a bootstrap approach

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