INFERENCE IN LÉVY-TYPE STOCHASTIC VOLATILITY MODELS.

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. [ABSTRACT FROM AUTHOR]