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econ.EM2022
Efficient Integrated Volatility Estimation in the Presence of Infinite Variation Jumps via Debiased Truncated Realized Variations
B. Cooper Boniece, José E. Figueroa-López, Yuchen Han
Statistical inference for stochastic processes based on high-frequency observations has been an active research area for more than two decades. One of the most well-known and widel…
econ.EM2022
Efficient Volatility Estimation for Lévy Processes with Jumps of Unbounded Variation
B. Cooper Boniece, José E. Figueroa-López, Yuchen Han
Statistical inference for stochastic processes based on high-frequency observations has been an active research area for more than a decade. One of the most well-known and widely s…
econ.EM2021
Estimation of Tempered Stable Lévy Models of Infinite Variation
José E. Figueroa-López, Ruoting Gong, Yuchen Han
We propose a new method for the estimation of a semiparametric tempered stable Lévy model. The estimation procedure combines iteratively an approximate semiparametric method of mom…