Abelian theorems for stochastic volatility models with application to the estimation of jump activity of volatility

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.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.identifier.uri	http://hdl.handle.net/2003/29199
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-3036
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

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