Related papers: Limit Laws in Transaction-Level Asset Price Models

In financial markets, low prices are generally associated with high volatilities and vice-versa, this well known stylized fact usually being referred to as leverage effect. We propose a local volatility model, given by a stochastic…

In this paper we provide an asymptotic analysis of generalised bipower measures of the variation of price processes in financial economics. These measures encompass the usual quadratic variation, power variation and bipower variations which…

Estimating spot covariance is an important issue to study, especially with the increasing availability of high-frequency financial data. We study the estimation of spot covariance using a kernel method for high-frequency data. In…

We measure the influence of different time-scales on the dynamics of financial market data. This is obtained by decomposing financial time series into simple oscillations associated with distinct time-scales. We propose two new time-varying…

We quantify how co-jumps impact correlations in currency markets. To disentangle the continuous part of quadratic covariation from co-jumps, and study the influence of co-jumps on correlations, we propose a new wavelet-based estimator. The…

We introduce a new method for online parameter estimation in stochastic interacting particle systems, based on continuous observation of a small number of particles from the system. Our method recursively updates the model parameters using…

A semi-parametric, non-linear regression model in the presence of latent variables is applied towards learning network graph structure. These latent variables can correspond to unmodeled phenomena or unmeasured agents in a complex system of…

We assume a continuous-time price impact model similar to Almgren-Chriss but with the added assumption that the price impact parameters are stochastic processes modeled as correlated scalar Markov diffusions. In this setting, we develop…

We provide a nonparametric method for the computation of instantaneous multivariate volatility for continuous semi-martingales, which is based on Fourier analysis. The co-volatility is reconstructed as a stochastic function of time by…

We consider parameter estimation, hypothesis testing and variable selection for partially time-varying coefficient models. Our asymptotic theory has the useful feature that it can allow dependent, nonstationary error and covariate…

We characterize the small-time asymptotic behavior of the exit probability of a L\'evy process out of a two-sided interval and of the law of its overshoot, conditionally on the terminal value of the process. The asymptotic expansions are…

We develop at-the-money call-price and implied volatility asymptotic expansions in time to maturity for a class of asset-price models whose log returns follow a L\'evy process. Under mild assumptions placing the driving L\'evy process in…

It is well documented that a model for the underlying asset price process that seeks to capture the behaviour of the market prices of vanilla options needs to exhibit both diffusion and jump features. In this paper we assume that the asset…

We propose a novel strategy for multivariate extreme value index estimation. In applications such as finance, volatility and risk present in the components of a multivariate time series are often driven by the same underlying factors, such…

This paper presents a novel one-factor stochastic volatility model where the instantaneous volatility of the asset log-return is a diffusion with a quadratic drift and a linear dispersion function. The instantaneous volatility mean reverts…

We consider the pricing of derivatives written on the discretely sampled realized variance of an underlying security. In the literature, the realized variance is usually approximated by its continuous-time limit, the quadratic variation of…

We propose model-free (nonparametric) estimators of the volatility of volatility and leverage effect using high-frequency observations of short-dated options. At each point in time, we integrate available options into estimates of the…

In this paper, we propose an equilibrium pricing model in a dynamic multi-period stochastic framework with uncertain income streams. In an incomplete market, there exist two traded risky assets (e.g. stock/commodity and weather derivative)…

In this article, we consider flexible seasonal time series models which consist of a common trend function over periods and additive individual trend (seasonal effect) functions. The consistency and asymptotic normality of the local linear…

Assume (1) asset returns follow a stochastic multi-factor process with time-varying conditional expectations; (2) investments are linear functions of factors. This paper calculates asymptotic joint moments of the logarithm of investor's…