Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Belomestny, Denis | - |
dc.contributor.author | Panov, Vladimir | - |
dc.date.accessioned | 2011-11-23T10:12:16Z | - |
dc.date.available | 2011-11-23T10:12:16Z | - |
dc.date.issued | 2011-11-23 | - |
dc.identifier.uri | http://hdl.handle.net/2003/29199 | - |
dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-3036 | - |
dc.description.abstract | In this paper, we prove a kind of Abelian theorem for a class of stochastic volatility models (X; V ); where both the state process X and the volatility process V may have jumps. Our results relate the asymptotic behavior of the characteristic function of X for some > 0 in a stationary regime to the Blumenthal-Getoor indexes of the Levy processes driving the jumps in X and V . The results obtained are used to construct consistent estimators for the above Blumenthal-Getoor indexes based on low-frequency observations of the state process X. We derive the convergence rates for the corresponding estimator and show that these rates can not be improved in general. | en |
dc.language.iso | en | de |
dc.relation.ispartofseries | Discussion Paper / SFB 823;45/2011 | - |
dc.subject | Abelian theorem | en |
dc.subject | affine stochastic volatility model | en |
dc.subject | Blumenthal-Getoor index | en |
dc.subject.ddc | 310 | - |
dc.subject.ddc | 330 | - |
dc.subject.ddc | 620 | - |
dc.title | Abelian theorems for stochastic volatility models with application to the estimation of jump activity of volatility | en |
dc.type | Text | de |
dc.type.publicationtype | workingPaper | de |
dcterms.accessRights | open access | - |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
DP_4511_SFB823_Belomestny_Panov.pdf | DNB | 402.4 kB | Adobe PDF | View/Open |
This item is protected by original copyright |
This item is protected by original copyright rightsstatements.org