Large deviation principle for an estimator of the diffusion coefficient in a jump-diffusion process

DOI10.1016/j.spl.2007.09.013zbMath1142.60019OpenAlexW2064385920MaRDI QIDQ927361

Cecilia Mancini

Publication date: 5 June 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2007.09.013

zbMATH Keywords

threshold estimatorjump-diffusion Lévy model

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Large deviations (60F10)

Related Items (8)

Estimation of the realized (co-)volatility vector: large deviations approach ⋮ Large and moderate deviations of realized covolatility ⋮ Estimation of the characteristics of a Lévy process ⋮ Moderate deviations for estimators of quadratic variational process of diffusion with compound Poisson jumps ⋮ Large deviations of the threshold estimator of integrated (co-)volatility vector in the presence of jumps ⋮ On the estimation of integrated volatility in the presence of jumps and microstructure noise ⋮ Threshold selection in jump-discriminant filter for discretely observed jump processes ⋮ Large deviation principles of realized Laplace transform of volatility

Cites Work

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• Volatility estimators for discretely sampled Lévy processes
• Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion
• Limit theorems for multipower variation in the presence of jumps
• A Jump‐diffusion Model for Exchange Rates in a Target Zone
• Financial Modelling with Jump Processes
• Option pricing when underlying stock returns are discontinuous
• Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model

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