In this paper we prove a central limit theorem for the Fourier quarticity estimator proposed in Mancino and Sanfelici (2012). In particular, we obtain a new consistency result and we show that the estimator reaches the parametric rate ρ(n)1/2, where ρ(n), is the discretization mesh and n the...

This note studies robust estimation of the autoregressive (AR) parameter in a nonlinear, nonnegative AR model driven by nonnegative errors. It is shown that a linear programming estimator (LPE), considered by Nielsen and Shephard (2003) among others, remains consistent under severe model...

In view of their tractability, Hawkes processes are widely employed in high-frequency data. However, even in the absence of kernel (i.e. Poisson case), it is well-documented empirically that the baseline is not constant, reproducing in particular seasonalities from the financial market. In this...

We develop a novel filtering and estimation procedure for parametric option pricing models driven by general affine jump-diffusions. Our procedure is based on the comparison between an option-implied, model-free representation of the conditional log-characteristic function and the model-implied...

The paper investigates the ability of oil price returns, oil price shocks and oil price volatility to provide predictive information on the state (high/low risk environment) of the US stock market returns and volatility. The disaggregation of oil price shocks according to their origin allows us...

The increasing availability of high frequency data has initiated many new research areas in statistics. Functional data analysis (FDA) is one such innovative approach towards modelling time series data. In FDA, densely observed data are transformed into curves and then each (random) curve is...

We propose a novel class of count time series models, the mixed Poisson integer-valued stochastic volatility models. The proposed specification, which can be considered as an integer-valued analogue of the discrete-time stochastic volatility model, encompasses a wide range of conditional...

In order to estimate the conditional risk of a portfolio's return, two strategies can be advocated. A multivariate strategy requires estimating a dynamic model for the vector of risk factors, which is often challenging, when at all possible, for large portfolios. A univariate approach based on a...

The hedge fund represents a unique investment opportunity for the institutional and private investors in the diffusion-type financial systems. The main objective of this condensed article is to research the hedge fund’s optimal investment portfolio strategies selection in the global capital...

The hedge fund represents a unique investment opportunity for the institutional and private investors in the diffusion-type financial systems. The main objective of this condensed article is to research the hedge fund’s optimal investment portfolio strategies selection in the global capital...