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INFERENCE IN LÉVY-TYPE STOCHASTIC VOLATILITY MODELS.
- Source :
- Advances in Applied Probability; Jun2007, Vol. 39 Issue 2, p531-549, 19p
- Publication Year :
- 2007
-
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. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 00018678
- Volume :
- 39
- Issue :
- 2
- Database :
- Complementary Index
- Journal :
- Advances in Applied Probability
- Publication Type :
- Academic Journal
- Accession number :
- 26219756
- Full Text :
- https://doi.org/10.1239/aap/1183667622