The speed of convergence of the threshold estimator of integrated variance

DOI10.1016/J.SPA.2010.12.001MaRDI QIDQ544491zbMATH OpenOpenAlexFDO

Authors Cecilia Mancini

Publication date 15 June 2011

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2010.12.001

zbMATH Keywords

infinite activity stable Lévy jumps

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Generalizations of martingales (60G48)

Recommendations

• Optimum thresholding using mean and conditional mean squared error
• Large deviations of the threshold estimator of integrated (co-)volatility vector in the presence of jumps
• Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
• A remark on the rates of convergence for integrated volatility estimation in the presence of jumps
• scientific article; zbMATH DE number 6611139

Cites work

• scientific article; zbMATH DE number 1639846 (Why is no real title available?)
• scientific article; zbMATH DE number 3780265 (Why is no real title available?)
• Asymptotic properties of realized power variations and related functionals of semimartingales
• Estimating the degree of activity of jumps in high frequency data
• Financial Modelling with Jump Processes
• Fisher's Information for Discretely Sampled Lvy Processes
• IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS
• Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
• Nonparametric tests for pathwise properties of semimartingales

Cited in

(21)

• Measuring the relevance of the microstructure noise in financial data
• Large deviations of the threshold estimator of integrated (co-)volatility vector in the presence of jumps
• Fourier transform methods for pathwise covariance estimation in the presence of jumps
• Second-order properties of thresholded realized power variations of FJA additive processes
• Uniform predictive inference for factor models with instrumental and idiosyncratic betas
• Optimum thresholding using mean and conditional mean squared error
• Jump filtering and efficient drift estimation for Lévy-driven SDEs
• Efficient integrated volatility estimation in the presence of infinite variation jumps via debiased truncated realized variations
• A remark on the rates of convergence for integrated volatility estimation in the presence of jumps
• On the speed of almost sure convergence of the mode estimators of Chernoff and Venter
• Efficient maximum likelihood estimation for Lévy-driven Ornstein-Uhlenbeck processes
• Unbiased truncated quadratic variation for volatility estimation in jump diffusion processes
• Estimation for high-frequency data under parametric market microstructure noise
• Efficient estimation of integrated volatility in presence of infinite variation jumps
• Truncated realized covariance when prices have infinite variation jumps
• Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
• Volatility estimation and jump testing via realized information variation
• Estimation of volatility in a high-frequency setting: a short review
• Local asymptotic normality for ergodic jump-diffusion processes via transition density approximation
• Efficient estimation of integrated volatility in presence of infinite variation jumps with multiple activity indices
• Quarticity and other functionals of volatility: efficient estimation

This page was built for publication: The speed of convergence of the threshold estimator of integrated variance

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q544491)