UM
Estimating spot volatility in the presence of infinite variation jumps
Liu, Qiang; Liu, Yiqi; Liu, Zhi
2018-06
Source PublicationSTOCHASTIC PROCESSES AND THEIR APPLICATIONS
ISSN0304-4149
Volume128Issue:6Pages:1958-1987
Abstract

We propose a kernel estimator for the spot volatility of a semi-martingale at a given time point by using high frequency data, where the underlying process accommodates a jump part of infinite variation. The estimator is based on the representation of the characteristic function of Levy processes. The consistency of the proposed estimator is established under some mild assumptions. By assuming that the jump part of the underlying process behaves like a symmetric stable Levy process around 0, we establish the asymptotic normality of the proposed estimator. In particular, with a specific kernel function, the estimator is variance efficient. We conduct Monte Carlo simulation studies to assess our theoretical results and compare our estimator with existing ones. (C) 2017 Elsevier B.V. All rights reserved.

KeywordSemi-martingale High Frequency Data Spot Volatility Kernel Estimate Central Limit Theorem
DOIhttp://doi.org/10.1016/j.spa.2017.08.015
URLView the original
Indexed BySCI ; SSCI ; SSCI
Language英语
WOS Research AreaMathematics
WOS SubjectStatistics & Probability
WOS IDWOS:000432765500007
PublisherELSEVIER SCIENCE BV
The Source to ArticleWOS
Fulltext Access
Citation statistics
Document TypeJournal article
CollectionUniversity of Macau
Corresponding AuthorLiu, Zhi
AffiliationDepartment of Mathematics, University of Macau, Macao
First Author AffilicationUniversity of Macau
Corresponding Author AffilicationUniversity of Macau
Recommended Citation
GB/T 7714
Liu, Qiang,Liu, Yiqi,Liu, Zhi. Estimating spot volatility in the presence of infinite variation jumps[J]. STOCHASTIC PROCESSES AND THEIR APPLICATIONS,2018,128(6):1958-1987.
APA Liu, Qiang,Liu, Yiqi,&Liu, Zhi.(2018).Estimating spot volatility in the presence of infinite variation jumps.STOCHASTIC PROCESSES AND THEIR APPLICATIONS,128(6),1958-1987.
MLA Liu, Qiang,et al."Estimating spot volatility in the presence of infinite variation jumps".STOCHASTIC PROCESSES AND THEIR APPLICATIONS 128.6(2018):1958-1987.
Files in This Item:
There are no files associated with this item.
Related Services
Recommend this item
Bookmark
Usage statistics
Export to Endnote
Google Scholar
Similar articles in Google Scholar
[Liu, Qiang]'s Articles
[Liu, Yiqi]'s Articles
[Liu, Zhi]'s Articles
Baidu academic
Similar articles in Baidu academic
[Liu, Qiang]'s Articles
[Liu, Yiqi]'s Articles
[Liu, Zhi]'s Articles
Bing Scholar
Similar articles in Bing Scholar
[Liu, Qiang]'s Articles
[Liu, Yiqi]'s Articles
[Liu, Zhi]'s Articles
Terms of Use
No data!
Social Bookmark/Share
All comments (0)
No comment.
 

Items in the repository are protected by copyright, with all rights reserved, unless otherwise indicated.