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Titel
Abelian theorems for stochastic volatility models with application to the estimation of jump activity of volatility / Denis Belomestny, Vladimir Panov
VerfasserBelomestny, Denis ; Panov, Vladimir
Erschienen[Dortmund] : SFB 823, 2011
Ausgabe
Elektronische Ressource
Umfang1 Online-Ressource (26 Seiten)
SerieDiscussion paper ; Nr. 45 (2011)
SchlagwörterStochastik / Abelsche Funktion / Volatilität
URNurn:nbn:de:hbz:6:2-1311810 
DOI10.17877/DE290R-3036 
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Abelian theorems for stochastic volatility models with application to the estimation of jump activity of volatility [0.39 mb]
Zusammenfassung

In this paper, we prove a kind of Abelian theorem for a class of stochastic volatility models (X; V ); where both the state process X and the volatility process V may have jumps. Our results relate the asymptotic behavior of the characteristic function of X for some > 0 in a stationary regime to the Blumenthal-Getoor indexes of the Levy processes driving the jumps in X and V . The results obtained are used to construct consistent estimators for the above Blumenthal-Getoor indexes based on low-frequency observations of the state process X. We derive the convergence rates for the corresponding estimator and show that these rates can not be improved in general.

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