Volatility estimation of general Gaussian Ornstein-Uhlenbeck process

DOI10.1016/J.SPL.2020.108796MaRDI QIDQ2006737zbMATH OpenOpenAlexFDO

Authors Qian Yu, Salwa Bajja

Publication date 12 October 2020

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

Full work available at URL https://arxiv.org/abs/1909.06715

zbMATH Keywords

Gaussian processvolatilityquadratic variation

Mathematics Subject Classification ID

Gaussian processes (60G15) Financial applications of other theories (91G80)

Abstract: In this article we study the asymptotic behaviour of the realized quadratic variation of a process $in{t}_0^t{u}_{s}d{G}_s^H$, where $u$ is a $$-H"older continuous process with $$ and $G^H$ is a self-similar Gaussian process with parameters $Hin(0,3/4)$. We prove almost sure convergence uniformly in time, and a stable weak convergence for the realized quadratic variation. As an application, we construct strongly consistent estimator for the integrated volatility parameter in a model driven by $G^H$.

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Cited in

(5)

• Volatility estimation of Gaussian Ornstein-Uhlenbeck processes of the second kind
• Gaussian Volterra processes: Asymptotic growth and statistical estimation
• A GENERAL ORNSTEIN–UHLENBECK STOCHASTIC VOLATILITY MODEL WITH LÉVY JUMPS
• Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes
• Volatility estimation in fractional Ornstein-Uhlenbeck models

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