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Testing the local volatility assumption: a statistical approach
Podolskij, Mark; Rosenbaum, Mathieu - School of Economics and Management, University of Aarhus - 2011
In practice, the choice of using a local volatility model or a stochastic volatility model is made according to their respective ability to fit implied volatility surfaces. In this paper, we adopt an opposite point of view. Indeed, based on historical data, we design a statistical procedure...
Persistent link: https://www.econbiz.de/10008802539
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Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9
Jacod, Jean; Li, Yingying; Mykland, Per A.; Podolskij, Mark - School of Economics and Management, University of Aarhus - 2007
This paper presents a generalized pre-averaging approach for estimating the integrated volatility. This approach also provides consistent estimators of other powers of volatility – in particular, it gives feasible ways to consistently estimate the asymptotic variance of the estimator of the...
Persistent link: https://www.econbiz.de/10005787544
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Limit theorems for functionals of higher order differences of Brownian semi-stationary processes
Barndorff-Nielsen, Ole E.; Corcuera, José Manuel; … - School of Economics and Management, University of Aarhus - 2009
We present some new asymptotic results for functionals of higher order differences of Brownian semi-stationary processes. In an earlier work [4] we have derived a similar asymptotic theory for first order differences. However, the central limit theorems were valid only for certain values of the...
Persistent link: https://www.econbiz.de/10008556267
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Understanding limit theorems for semimartingales: a short survey
Podolskij, Mark; Vetter, Mathias - School of Economics and Management, University of Aarhus - 2009
This paper presents a short survey on limit theorems for certain functionals of semimartingales, which are observed at …
Persistent link: https://www.econbiz.de/10008479245
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Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution
Jacod, Jean; Podolskij, Mark; Vetter, Mathias - School of Economics and Management, University of Aarhus - 2008
This paper presents some limit theorems for certain functionals of moving averages of semimartingales plus noise, which … estimates for various characteristics of general semimartingales. Furthermore, we prove the associated multidimensional (stable …
Persistent link: https://www.econbiz.de/10005440042
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Estimation of Gini index within pre-specified error bound
Chattopadhyay, Bhargab; De, Shyamal Krishna - In: Econometrics 4 (2016) 3, pp. 1-12
Gini index is a widely used measure of economic inequality. This article develops a theory and methodology for constructing a confidence interval for Gini index with a specified confidence coefficient and a specified width without assuming any specific distribution of the data. Fixed sample size...
Persistent link: https://www.econbiz.de/10011755336
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Regression Asymptotics Using Martingale Convergence Methods
Ibragimov, Rustam; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2004
relies on the fact that the econometric quantities of interest involve discrete time martingales or semimartingales and shows … how in the limit these quantities become continuous martingales and semimartingales. The limit theory itself uses very … general convergence results for semimartingales that were obtained in work by Jacod and Shiryaev (2003). The theory that is …
Persistent link: https://www.econbiz.de/10004990794
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Estimation of Gini index within pre-specified error bound
Chattopadhyay, Bhargab; De, Shyamal Krishna - In: Econometrics : open access journal 4 (2016) 3, pp. 1-12
Gini index is a widely used measure of economic inequality. This article develops a theory and methodology for constructing a confidence interval for Gini index with a specified confidence coefficient and a specified width without assuming any specific distribution of the data. Fixed sample size...
Persistent link: https://www.econbiz.de/10011506483
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Constrained general regression in pseudo-Sobolev spaces with application to option pricing
Hlávka, Zdeněk; Peésta, Michal - 2006
State price density (SPD) contains important information concerning market expectations. In existing literature, a constrained estimator of the SPD is found by nonlinear least squares in a suitable Sobolev space. We improve the behavior of this estimator by implementing a covariance structure...
Persistent link: https://www.econbiz.de/10010274279
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Constrained General Regression in Pseudo-Sobolev Spaces with Application to Option Pricing
Hlávka, Zdeněk; Pešta, Michal - Sonderforschungsbereich Ökonomisches Risiko <Berlin>
State price density (SPD) contains important information concerning market expectations. In existing literature, a constrained estimator of the SPD is found by nonlinear least squares in a suitable Sobolev space...
Persistent link: https://www.econbiz.de/10005854964