Inference in Lévy-type stochastic volatility models
- 1 June 2007
- journal article
- Published by Cambridge University Press (CUP) in Advances in Applied Probability
- Vol. 39 (2) , 531-549
Abstract
Based on the concept of multipower variation we establish a class of easily computable and robust estimators for the integrated volatility, especially including the squared integrated volatility, in Lévy-type stochastic volatility models. We derive consistency and feasible distributional results for the estimators. Furthermore, we discuss the applications to time-changed CGMY, normal inverse Gaussian, and hyperbolic models with and without leverage, where the time-changes are based on integrated Cox-Ingersoll-Ross or Ornstein-Uhlenbeck-type processes. We deduce which type of market microstructure does not affect the estimates.Keywords
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