Realized range-based threshold estimation for jump-diffusion models

被引：0

作者：

Cai, Jingwei ^{[1
,2
]}

Chen, Ping ^{[1
]}

Mei, Xia ^{[2
]}

Ji, Xiao ^{[1
]}

机构：

[1] Department of Statistics and Financial Mathematics, Nanjing University of Science and Technology, Nanjing,210094, China

[2] Foundation department, Jiangsu Polytechnic College of Agriculture and Forestry, Zhenjiang,212400, China

来源：

IAENG International Journal of Applied Mathematics | 2015年 / 45卷 / 04期

关键词：

D O I：

暂无

中图分类号：

学科分类号：

摘要：

We develop a framework for estimating the quadratic variation of discontinuous semi-martingales with intra-day high-low statistics. Restricting the realized rangebased variance smaller than a suitably defined threshold, we propose an integrated volatility estimator and consider its consistency and asymptotic normality under a set of weak conditions. We find that the precision of our statistics is about five times greater than that of realized variance purely restricted by threshold. Simulation results illustrate the good finite sample properties of our estimator.

引用

页码：293 / 299

共 50 条

[41] Range-Based Covariance Estimation Using High-Frequency Data: The Realized Co-Range*
Bannouh, Karim
van Dijk, Dick
Martens, Martin
JOURNAL OF FINANCIAL ECONOMETRICS, 2009, 7 (04) : 341 - 372
[42] On the threshold dividend strategy for a generalized jump-diffusion risk model
Chi, Yichun
Lin, X. Sheldon
INSURANCE MATHEMATICS & ECONOMICS, 2011, 48 (03): : 326 - 337
[43] Optimally sampled realized range-based volatility estimators
Vortelinos, Dimitrios I.
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2014, 30 : 34 - 50
[44] Local M-estimation for jump-diffusion processes
Wang, Yunyan
Zhang, Lixin
Tang, Mingtian
STATISTICS & PROBABILITY LETTERS, 2012, 82 (07) : 1273 - 1284
[45] Radar estimation of building layouts using jump-diffusion
Nikolic, Maria M.
Ortner, Mathias
Nehorai, Arye
Djordjevic, Antonije R.
2007 2ND IEEE INTERNATIONAL WORKSHOP ON COMPUTATIONAL ADVANCES IN MULTI-SENSOR ADAPTIVE PROCESSING, 2007, : 89 - +
[46] BAYESIAN ESTIMATION OF STOCHASTIC-VOLATILITY JUMP-DIFFUSION MODELS ON INTRADAY PRICE RETURNS
Ficura, Milan
Witzany, Jiri
18TH AMSE: APPLICATIONS OF MATHEMATICS AND STATISTICS IN ECONOMICS, 2015,
[47] Study on VaR forecasts Based on Realized Range-based Volatility
Guo Mingyuan
Zhang Shiying
2009 INTERNATIONAL CONFERENCE ON BUSINESS INTELLIGENCE AND FINANCIAL ENGINEERING, PROCEEDINGS, 2009, : 860 - 862
[48] Bayesian inference on multivariate asymmetric jump-diffusion models
Lee, Youngeun
Park, Taeyoung
KOREAN JOURNAL OF APPLIED STATISTICS, 2016, 29 (01) : 99 - 112
[49] Full Bayesian Analysis for a Class of Jump-Diffusion Models
Rifo, Laura L. R.
Torres, Soledad
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2009, 38 (08) : 1262 - 1271
[50] Continuity Correction for Barrier Options in Jump-Diffusion Models
Dia, El Hadj Aly
Lamberton, Damien
SIAM JOURNAL ON FINANCIAL MATHEMATICS, 2011, 2 (01): : 866 - 900

← 1 2 3 4 5 →