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Volatility of price indices for heterogeneous goods
Bocart, Fabian Y. R. P.; Hafner, Christian M. - 2012
-variance analysis of alternative investments has been hampered by the lack of a systematic treatment of volatility in these markets … underlying volatility. For example, in art markets, auction houses often give price guarantees to the seller that resemble put … the price index, allowing to treat the volatility parameter as the object of interest. The model can be estimated using …
Persistent link: https://www.econbiz.de/10010318789
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A Donsker theorem for Lévy measures
Nickl, Richard; Reiß, Markus - 2012
Given n equidistant realisations of a Lévy process (Lt; t = 0), a natural estimator for the distribution function N of the Lévy measure is constructed. Under a polynomial decay restriction on the characteristic function, a Donsker-type theorem is proved, that is, a functional central limit...
Persistent link: https://www.econbiz.de/10010281478
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Option calibration of exponential Lévy models: Implementation and empirical results
Söhl, Jakob; Trabs, Mathias - 2012
Observing prices of European put and call options, we calibrate exponential Lévy models nonparametrically. We discuss the implementation of the spectral estimation procedures for Lévy models of finite jump activity as well as for self-decomposable Lévy models and improve these methods....
Persistent link: https://www.econbiz.de/10010281479
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Estimation of the characteristics of a Lévy process observed at arbitrary frequency
Kappus, Johanna; Reiß, Markus - 2011
A Lévy process is observed at time points of distance delta until time T. We construct an estimator of the Lévy-Khinchine characteristics of the process and derive optimal rates of convergence simultaneously in T and delta. Thereby, we encompass the usual low- and high-frequency assumptions...
Persistent link: https://www.econbiz.de/10010281558
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Confidence sets in nonparametric calibration of exponential Lévy models
Söhl, Jakob - 2012
volatility, the drift, the intensity and the Lévy density at nitely many points in the spectral calibration method. Furthermore …, the asymptotic normality result leads to a test on the value of the volatility in exponential Lévy models. …
Persistent link: https://www.econbiz.de/10010281561
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An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory
Bibinger, Markus - 2011
The article is devoted to the nonparametric estimation of the quadratic covariation of non-synchronously observed Itô processes in an additive microstructure noise model. In a high-frequency setting, we aim at establishing an asymptotic distribution theory for a generalized multiscale estimator...
Persistent link: https://www.econbiz.de/10010281599
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Estimation of the characteristics of a Lévy process observed at arbitrary frequency
Kappus, Johanna; Reiß, Markus - 2010
A Lévy process is observed at time points of distance delta until time T. We construct an estimator of the Lévy-Khinchine characteristics of the process and derive optimal rates of convergence simultaneously in T and delta. Thereby, we encompass the usual low- and high-frequency assumptions...
Persistent link: https://www.econbiz.de/10010270819
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Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility
Bos, Charles S. - 2008
When analysing the volatility related to high frequency financial data, mostly non-parametric approaches based on … stochastic volatility. Estimation of the model delivers measures of daily variation outperforming their non …
Persistent link: https://www.econbiz.de/10010326060
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Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise
Reiß, Markus - 2011
experiment in terms of the square root of the volatility function .... As an application, simple rateoptimal estimators of the … volatility and efficient estimators of the integrated volatility are constructed. …
Persistent link: https://www.econbiz.de/10010281553
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Spectral estimation of covolatility from noisy observations using local weights
Bibinger, Markus; Reiß, Markus - 2011
noise model with correlation and volatility processes being constant over small intervals. The asymptotic equivalence of the …
Persistent link: https://www.econbiz.de/10010281562