Volatility estimators for discretely sampled Lévy processes

By Yacine Aït-Sahalia, Jean Jacod. 2007

122 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/ca908503e0ca89120369874f30b440d2cde4a724

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In Management Science and Operations Research

Citations in the corpus

Asymptotic properties of power variations of Lévy processes (2005, background): “Let us quote for example [2], [3], [4], and some partial results when the process under considerations has jumps may be found in [5], [11] or [12], see also [1] in a different context.”
Convergence of Gaussian quasi-likelihood random fields for ergodic Lévy driven SDE observed at high frequency (2013, methodology): “Applying the Lenglart domination property for the martingale ∑n j=1(ηj − E j−1 0 [ηj ]) (cf. Jacod and Shiryaev [15], I.3.30), we conclude that ∑n j=1 ηj →p Vαβ[v′1, v′′1 ], hence V̂αβ,n[v′1, v′′1 ] →p Vαβ [v′1, v′′1 ].”
Estimation of Stable Distributions by Indirect Inference (2011, unknown): “In fact, the actual dynamics could well a highly persistent GARCH, since DeVries (1991) has shown that under certain conditions on the parameters of a GARCH-like process, the stable and GARCH processes are observationally equivalent from the viewpoint of the unconditional distribution.(3)”
Estimation for L\'{e}vy processes from high frequency data within a long time interval (2011, methodology): “R (eiux − 1 − iux)n(x)dx is well defined, we get the following expression for (1):”
The information content of high-frequency data for estimating equity return models and forecasting risk (2010, background): “10Other approaches that involve potentially delicate threshold or bandwidth choices include the truncated RV of Mancini (2006) and Aït-Sahalia and Jacod (2007), the truncated bipower variation of Corsi, Pirino, and Renò (2008), as well as the quantile RV estimator of Christensen, Oomen, and Podolski”
On the jump activity index for semimartingales (2012, unknown): “…and HKUST6015/08P E-mails: majing@ust.hk, xinbingkong@yahoo.com.cn, liuzhi@ust.hk, per.mykland@gmail.com in semimartingales with discontinuous part (i.e., jumps) in the literature; see AitSahalia (2004), Ait-Sahalia and Jacod (2007), Fan and Wang (2007), Jacod (2008) and references therein.”