تقرير
Estimation of Tempered Stable L\'{e}vy Models of Infinite Variation
| العنوان: | Estimation of Tempered Stable L\'{e}vy Models of Infinite Variation |
|---|---|
| المؤلفون: | Figueroa-López, José E., Gong, Ruoting, Han, Yuchen |
| سنة النشر: | 2021 |
| المجموعة: | Quantitative Finance Statistics |
| مصطلحات موضوعية: | Economics - Econometrics, Quantitative Finance - Statistical Finance, Statistics - Methodology |
| الوصف: | We propose a new method for the estimation of a semiparametric tempered stable L\'{e}vy model. The estimation procedure combines iteratively an approximate semiparametric method of moment estimator, Truncated Realized Quadratic Variations (TRQV), and a newly found small-time high-order approximation for the optimal threshold of the TRQV of tempered stable processes. The method is tested via simulations to estimate the volatility and the Blumenthal-Getoor index of the generalized CGMY model as well as the integrated volatility of a Heston-type model with CGMY jumps. The method outperforms other efficient alternatives proposed in the literature when working with a L\'evy process (i.e., the volatility is constant), or when the index of jump intensity $Y$ is larger than $3/2$ in the presence of stochastic volatility. Comment: 33 pages |
| نوع الوثيقة: | Working Paper |
| URL الوصول: | http://arxiv.org/abs/2101.00565 |
| رقم الأكسشن: | edsarx.2101.00565 |
| قاعدة البيانات: | arXiv |
| الوصف غير متاح. |