Inference in Lévy-type stochastic volatility models
Inference in Lévy-type stochastic volatility models
复制标题
Lévy 型随机波动率模型的推论
DOI：
10.1239/aap/1183667622
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发表时间：
2007
影响因子：
1.2
通讯作者：
Jeannette H. C. Woerner
中科院分区：
文献类型：
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作者：
Jeannette H. C. Woerner
基于多幂次变分的概念，我们建立了一类易于计算的、鲁棒的综合波动率估计，特别是包括方差综合波动率估计。我们得到了估计量的相合性和可行分布结果。此外，我们讨论了时变CGMY，正态反高斯和双曲模型的应用，其中时变是基于集成的Cox-Ingersoll-Ross或ornstein - uhlenbeck型过程。我们推断哪种类型的市场微观结构不影响估计。
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.