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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…
econ.EM2020★ 1 cited
Kernel Estimation of Spot Volatility with Microstructure Noise Using Pre-Averaging
José E. Figueroa-López, Bei Wu
We first revisit the problem of estimating the spot volatility of an Itô semimartingale using a kernel estimator. We prove a Central Limit Theorem with optimal convergence rate for…