Estimating time-changes in noisy L\'evy models
In quantitative finance, we often model asset prices as a noisy Ito semimartingale. As this model is not identifiable, approximating by a time-changed Levy process can be useful for generative modelling. We give a new estimate of the normalised volatility or time change in this model, which obtains minimax convergence rates, and is unaffected by infinite-variation jumps. In the semimartingale model, our estimate remains accurate for the normalised volatility, obtaining convergence rates as good as any previously implied in the literature.
Year of publication: |
2013-12
|
---|---|
Authors: | Bull, Adam D. |
Institutions: | arXiv.org |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Near-optimal estimation of jump activity in semimartingales
Bull, Adam D., (2014)
-
Time--consistent investment under model uncertainty: the robust forward criteria
Kallblad, Sigrid, (2013)
-
Structural social capital and health in Italy
Fiorillo, Damiano, (2014)
- More ...