Efficient Volatility Estimation for Levy Processes with Jumps of Unbounded Variation, José Figueroa Lopez (Washington University in St Louis)


Relatore
José Figueroa Lopez - Washington University in St Louis

Data e ora
mercoledì 23 febbraio 2022 alle ore 12.00 - In presenza + Zoom Webinar

Referente
Cecilia Mancini

Data pubblicazione
22 dicembre 2021

Dipartimento
Scienze Economiche  

Riassunto

Statistical inference for stochastic processes based on high-frequency observations has been an active research area for more than a decade. One of the most well-known and widely studied problems is that of estimation of the quadratic variation of the continuous component of an Itô semimartingale with jumps. Several rate- and variance-efficient estimators have been proposed in the literature when the jump component is of bounded variation. However, to date, very few methods can deal with jumps of unbounded variation. By developing new high-order expansions of the truncated moments of a Lévy process, we construct a new rate- and variance-efficient estimator for a class of Lévy processes of unbounded variation, whose small jumps behave like those of a stable Lévy process with Blumenthal-Getoor index less than 8/5. The proposed method is based on a two-step debiasing procedure for the truncated realized quadratic variation of the process. Our Monte Carlo experiments indicate that the method outperforms other efficient alternatives in the literature in the setting covered by our theoretical framework.

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