Authors: | Belomestny, Denis Panov, Vladimir |
Title: | Abelian theorems for stochastic volatility models with application to the estimation of jump activity of volatility |
Language (ISO): | en |
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. |
Subject Headings: | Abelian theorem affine stochastic volatility model Blumenthal-Getoor index |
URI: | http://hdl.handle.net/2003/29199 http://dx.doi.org/10.17877/DE290R-3036 |
Issue Date: | 2011-11-23 |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
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DP_4511_SFB823_Belomestny_Panov.pdf | DNB | 402.4 kB | Adobe PDF | View/Open |
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