Abelian theorems for stochastic volatility models with application to the estimation of jump activity of volatility
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Date
2011
Authors
Volume
1631
Issue
Journal
Series Titel
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Publisher
Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik
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Abstract
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 $X_Delta$ for some $Delta > 0$ in a stationary regime to the Blumenthal-Getoor indexes of the Lévy 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 prove that these rates can not be improved in general.
Description
Keywords
Affine stochastic volatility model, Abelian theorem, Blumenthal-Getoor index
Citation
Belomestny, D., & Panov, V. (2011). Abelian theorems for stochastic volatility models with application to
the estimation of jump activity of volatility (Vol. 1631). Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik.
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This document may be downloaded, read, stored and printed for your own use within the limits of § 53 UrhG but it may not be distributed via the internet or passed on to external parties.
Dieses Dokument darf im Rahmen von § 53 UrhG zum eigenen Gebrauch kostenfrei heruntergeladen, gelesen, gespeichert und ausgedruckt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden.
Dieses Dokument darf im Rahmen von § 53 UrhG zum eigenen Gebrauch kostenfrei heruntergeladen, gelesen, gespeichert und ausgedruckt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden.