Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model

DOI10.1080/034612303100170091zbMATH Open1114.62081OpenAlexW2090788235MaRDI QIDQ5899409FDOQ5899409

Authors: Cecilia Mancini 

Publication date: 29 May 2007

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/034612303100170091

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zbMATH Keywords

estimationPoisson processstock price modelquadratic variation processBrownian processBrownian stochastic integral

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic integrals (60H05)

Cites Work

• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Option pricing when underlying stock returns are discontinuous
• Spectral methods for identifying scalar diffusions
• Fourier series method for measurement of multivariate volatilities
• OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS
• Optimal portfolio for a small investor in a market model with discontinuous prices
• Contingent claims valuation when the security price is a combination of an Itō process and a random point process
• A Jump‐diffusion Model for Exchange Rates in a Target Zone
• Option pricing with stochastic volatility models.

Cited In (43)

• Threshold selection in jump-discriminant filter for discretely observed jump processes
• A new aspect of a risk process and its statistical inference
• Title not available (Why is that?)
• Realised quantile-based estimation of the integrated variance
• Optimally thresholded realized power variations for Lévy jump diffusion models
• Volatility analysis with realized GARCH-Itô models
• Adaptive robust large volatility matrix estimation based on high-frequency financial data
• Asymptotic lower bounds in estimating jumps
• Large deviation principle for an estimator of the diffusion coefficient in a jump-diffusion process
• Comparison of jump-diffusion parameters using passage times estimation
• No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications
• Subsampling high frequency data
• Functional estimation for Lévy measures of semimartingales with Poissonian jumps
• Estimating diffusion with compound Poisson jumps based on self-normalized residuals
• Risk, jumps, and diversification
• Parameter estimates of a price series model as solution to linear SDE with a Poisson component
• Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
• Asymptotic inference for jump diffusions with state-dependent intensity
• Estimating fast mean-reverting jumps in electricity market models
• Optimal iterative threshold-kernel estimation of jump diffusion processes
• Title not available (Why is that?)
• Parametric estimation for discretely observed stochastic processes with jumps
• Second-order properties of thresholded realized power variations of FJA additive processes
• Statistical specification of jumps under semiparametric semimartingale models
• Testing and detecting jumps based on a discretely observed process
• Title not available (Why is that?)
• Optimum thresholding using mean and conditional mean squared error
• Efficient integrated volatility estimation in the presence of infinite variation jumps via debiased truncated realized variations
• Real-time estimation scheme for the spot cross volatility of jump diffusion processes
• Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
• Nonparametric tests for pathwise properties of semimartingales
• High-frequency volatility estimation and forecasting with a novel Bayesian LGI model
• Estimating functions for jump-diffusions
• Asymptotic normality of bias reduction estimation for jump intensity function in financial markets
• Large deviations of the threshold estimator of integrated (co-)volatility vector in the presence of jumps
• Estimation of the characteristics of a Lévy process
• Bias reduction estimation for drift coefficient in diffusion models with jumps
• Title not available (Why is that?)
• Threshold estimation of Markov models with jumps and interest rate modeling
• Consistency and asymptotics of a Poisson intensity least-squares estimator for partially observed jump-diffusion processes
• Title not available (Why is that?)
• Convergence of Gaussian quasi-likelihood random fields for ergodic Lévy driven SDE observed at high frequency
• Asymptotic properties for multipower variation of semimartingales and Gaussian integral processes with jumps

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