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The problem of integrated volatility estimation for the solution X of a stochastic differential equation with L{\'e}vy-type jumps is considered under discrete high-frequency observations in both short and long time horizon. We provide an…
A new jump diffusion regime-switching model is introduced, which allows for linking jumps in asset prices with regime changes. We prove the existence and uniqueness of the solution to the risk-sensitive asset management criterion…
We consider an optimal stochastic impulse control problem over an infinite time horizon motivated by a model of irreversible investment choices with fixed adjustment costs. By employing techniques of viscosity solutions and relying on…
Conformal prediction is a valuable tool for quantifying predictive uncertainty of machine learning models. However, its applicability relies on the assumption of data exchangeability, a condition which is often not met in real-world…
We develop a novel asymptotic theory for local polynomial extremum estimators of time-varying parameters in a broad class of nonlinear time series models. We show the proposed estimators are consistent and follow normal distributions in…
In this article we extend earlier work on the jump-diffusion risk-sensitive asset management problem [SIAM J. Fin. Math. (2011) 22-54] by allowing jumps in both the factor process and the asset prices, as well as stochastic volatility and…
We explore how violations of the often-overlooked standard assumption that the random effects model matrix in a linear mixed model is fixed (and thus independent of the random effects vector) can lead to bias in estimators of estimable…
An extensive empirical literature documents a generally negative correlation, named the "leverage effect," between asset returns and changes of volatility. It is more challenging to establish such a return-volatility relationship for jumps…
News might trigger jump arrivals in financial time series. The "bad" and "good" news seems to have distinct impact. In the research, a double exponential jump distribution is applied to model downward and upward jumps. Bayesian double…
We propose a model in which, in exchange to the payment of a fixed transaction cost, an insurance company can choose the retention level as well as the time at which subscribing a perpetual reinsurance contract. The surplus process of the…
This paper proposes the asymmetric linear double autoregression, which jointly models the conditional mean and conditional heteroscedasticity characterized by asymmetric effects. A sufficient condition is established for the existence of a…
Observing prices of European put and call options, we calibrate exponential L\'evy models nonparametrically. We discuss the efficient implementation of the spectral estimation procedures for L\'evy models of finite jump activity as well as…
In this paper, we are presenting a method for estimation of market parameters modeled by jump diffusion process. The method proposed is based on Gibbs sampler, while the market parameters are the drift, the volatility, the jump intensity…
We present some new results on the dynamic regressor extension and mixing parameter estimators for linear regression models recently proposed in the literature. This technique has proven instrumental in the solution of several open problems…
Model approximations are common practice when estimating structural or quasi-structural models. The paper considers the econometric properties of estimators that utilize projections to reimpose information about the exact model in the form…
This paper offers a new method for estimation and forecasting of the volatility of financial time series when the stationarity assumption is violated. Our general local parametric approach particularly applies to general varying-coefficient…
The paper proposes a class of financial market models which are based on inhomogeneous telegraph processes and jump diffusions with alternating volatilities. It is assumed that the jumps occur when the tendencies and volatilities are…
The Sharpe ratio, which is defined as the ratio of the excess expected return of an investment to its standard deviation, has been widely cited in the financial literature by researchers and practitioners. However, very little attention has…
This paper presents extensions of finite-time stability results to some prototypical adaptive control and estimation frameworks. First, we present a novel scheme of online parameter estimation that guarantees convergence of the estimation…
The optimal rate of convergence of estimators of the integrated volatility, for a discontinuous It\^{o} semimartingale sampled at regularly spaced times and over a fixed time interval, has been a long-standing problem, at least when the…