Variational sums and power variation: a unifying approach to model selection and estimation in semimartingale models

By Jeannette H. C. Woerner. 2003

68 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/da6d8d39a176311bacc71426699a23b0da99edbe

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Citations in the corpus

Limit Theorems for Power Variations of Pure-Jump Processes with Application to Activity Estimation (2011, background): “Finally, in earlier work [25-27], some limit theorems for realized power variations for pure-jump processes were studied, but the results apply in somewhat limit? ing situations regarding time-dependence and presence of a drift term (i.”
Power Variation and Time Change (2006, unknown): “Some extensions to additive processes are considered in Woerner (2002) .”
Nonparametric Estimation for Lévy Models Based on Discrete-Sampling (2009, background): “A proof of this statement is outlined in [32] for regular sampling observations, while the general case is considered in [14].”
Power variation and stochastic volatility: a review and some new results (2004, methodology): “when r = 2 through the usual quadratic variation result, while Woerner (2002) has extended the above convergence result to cover the case where 1 <r< 2. Further, at first sight it seems plausible that the limit behaviour of δ 1−r/2 [Xδ] [r] (t) − µrH r∗ (t) (16)”
Small-time expansions for the transition distributions of Lévy processes (2008, background): “This type of asymptotic results plays an important role in the non-parametric estimation of the Lévy measure based on high-frequency sampling observations of the process as carefully reported in [5] (see also [17], [4], and [20]).”
MODELING HIGH-FREQUENCY FINANCIAL DATA BY PURE JUMP PROCESSES (2012, background): “Similarly to Zhang, Mykland and Aı̈t-Sahalia (2005), Aı̈tSahalia and Jacod (2010) defined a two-time scale estimator”
Small-time moment asymptotics for Lévy processes (2008, background): “(1.4) Building on earlier results in [18], Woerner [21] considered unbounded moment functions f that are dominated by functions in the class S(ν) := {g(x) := p(x)k(x) : |x|>1 |g(x)|ν(dx) ∞, (1.5) p is subadditive, and k is submultiplicative}.”
Estimation of Integrated Volatility in Continuous‐Time Financial Models with Applications to Goodness‐of‐Fit Testing (2006, background): “…is most similar in spirit with the present paper are the papers of Corradi & White (1999), Kleinow (2002), Barndorff-Nielsen & Shephard (2003) and Woerner (2003), who also discuss the situation, where the time span is fixed and the length of the discrete sampling interval converges to zero as…”
Bipower Variation for Gaussian Processes with Stationary Increments (2009, unknown): “The theory of bipower, and more generally multipower, variation has been developed out of questions raised in mathematical finance; for motivation, some first results, and applications, see [2], [3], [4], [5], [6], [8], [29], [30], [31], and [32].”
Statistical inference for time-changed Lévy processes via composite characteristic function estimation (2010, background): “For instance, under discrete observations of a pure Lévy process Lt at times tj = j , j = 0, . . . , n, Woerner (2003) and FigueroaLópez (2004) proposed the quantity β̂(f ) = 1 n n∑ k=1 f (Ltk − Ltk−1) as a consistent estimator for the functional β(f ) = ∫ f (x)ν(x) dx, where f is a given “test…”
Power variation of some integral fractional processes (2006, methodology): “1=b : As in Woerner (2003), using Hudson and Mason (1976) for the case , 1, this term tends to zero as m !”
Power and bipower variation with stochastic volatility and jumps (2003, methodology): “(18) Remark 2 The same setting has been independently studied recently by Woerner (2002), who reaches the same conclusion in a general semimartingale framework using a different technique.”
Econometric analysis of jump-driven stochastic volatility models (2011, background): “Getoor (1961) for the original deflnition and Woerner (2002) for its generalization), given by”