Inference in Lévy-type stochastic volatility models
Jeannette H. C. Woerner
Source: Adv. in Appl. Probab. Volume 39, Number 2
(2007), 531-549.
Abstract
Based on the concept of multipower variation we establish a class of easily computable and robust estimators for the integrated volatility, especially including the squared integrated volatility, in Lévy-type stochastic volatility models. We derive consistency and feasible distributional results for the estimators. Furthermore, we discuss the applications to time-changed CGMY, normal inverse Gaussian, and hyperbolic models with and without leverage, where the time-changes are based on integrated Cox-Ingersoll-Ross or Ornstein-Uhlenbeck-type processes. We deduce which type of market microstructure does not affect the estimates.
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Keywords: Stochastic volatility model; Lévy process; statistical inference; power variation; integrated volatility; high-frequency data
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Permanent link to this document: http://projecteuclid.org/euclid.aap/1183667622
Digital Object Identifier: doi:10.1239/aap/1183667622
Mathematical Reviews number (MathSciNet): MR2343676
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