Title of article :
The speed of convergence of the Threshold estimator of integrated variance
Author/Authors :
Mancini، نويسنده , , Cecilia، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2011
Pages :
11
From page :
845
To page :
855
Abstract :
In this paper we consider a semimartingale model for the evolution of the price of a financial asset, driven by a Brownian motion (plus drift) and possibly infinite activity jumps. Given discrete observations, the Threshold estimator is able to separate the integrated variance IV from the sum of the squared jumps. This has importance in measuring and forecasting the asset risks. In this paper we provide the exact speed of convergence of I V ˆ h , a result which was known in the literature only in the case of jumps with finite variation. This has practical relevance since many models used have jumps of infinite variation (see e.g. Carr et al. (2002) [4]).
Keywords :
Infinite activity stable Lévy jumps , Integrated variance , Convergence Speed , Threshold estimator
Journal title :
Stochastic Processes and their Applications
Serial Year :
2011
Journal title :
Stochastic Processes and their Applications
Record number :
1578387
Link To Document :
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