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Statistical inference for stochastic processes based on high-frequency observations has been an active research area for more than two decades. One of the most well-known and widely studied problems has been the estimation of the quadratic…
In this paper, we relax the power parameter of instantaneous variance and develop a new stochastic volatility plus jumps model that generalize the Heston model and 3/2 model as special cases. This model has two distinctive features. First,…
In this paper, we are interested in testing if the volatility process is constant or not during a given time span by using high-frequency data with the presence of jumps and microstructure noise. Based on estimators of integrated volatility…
In this paper, we present the double smoothed nonparametric approach for infinitesimal conditional volatility of jump-diffusion model based on high frequency data. Under certain minimal conditions, we obtain the strong consistency and…
The paper algorithmizes the problem of regime change point identification for data measured in a system exhibiting impulsive behaviors. This is a fundamental challenge for annotation of measurement data relevant, e.g., for designing…
We present a stochastic mean-reverting jump-diffusion model to simulate rainfall time series and validate it using long-term half-hourly rain fall data from the North-East region of India. The model captures the intermittent and…
In this paper, a pricing formula for volatility swaps is delivered when the underlying asset follows the stochastic volatility model with jumps and stochastic intensity. By using Feynman-Kac theorem, a partial integral differential equation…
There is broad empirical evidence of regime switching in financial markets. The transition between different market regimes is mirrored in correlation matrices, whose time-varying coefficients usually jump higher in highly volatile regimes,…
In this paper, we address the challenge of clustering mixed-type data with temporal evolution by introducing the statistical jump model for mixed-type data. This novel framework incorporates regime persistence, enhancing interpretability…
This paper shows that jumps in financial asset prices are often erroneously identified and are, in fact, rare events accounting for a very small proportion of the total price variation. We apply new econometric techniques to a comprehensive…
In this paper we consider two semimartingales driven by diffusions and jumps. We allow both for finite activity and for infinite activity jump components. Given discrete observations we disentangle the {\it integrated covariation} (the…
Sequential monitoring of images has broad applications across various domains, including climate science, ecosystem monitoring, medical diagnostics, and so forth. In many such applications, images acquired over time exhibit gradual changes,…
We explore a stochastic model that enables capturing external influences in two specific ways. The model allows for the expression of uncertainty in the parametrisation of the stochastic dynamics and incorporates patterns to account for…
In applications the properties of a stochastic feature often change gradually rather than abruptly, that is: after a constant phase for some time they slowly start to vary. In this paper we discuss statistical inference for the detection…
This paper models stochastic process of price time series of CSI 300 index in Chinese financial market, analyzes volatility characteristics of intraday high-frequency price data. In the new generalized Barndorff-Nielsen and Shephard model,…
Existing drift detection methods focus on designing sensitive test statistics. They treat the detection threshold as a fixed hyperparameter, set once to balance false alarms and late detections, and applied uniformly across all datasets and…
It is generally accepted that the asset price processes contain jumps. In fact, pure jump models have been widely used to model asset prices and/or stochastic volatilities. The question is: is there any statistical evidence from the…
We introduce a statistical test for simultaneous jumps in the price of a financial asset and its volatility process. The proposed test is based on high-frequency data and is robust to market microstructure frictions. For the test, local…
Statistical multispecies models of multiarea marine ecosystems use a variety of data sources to estimate parameters using composite or weighted likelihood functions with associated weighting issues and questions on how to obtain variance…
The velocity-jump model is a specific type of piecewise deterministic Markov process in which an individual's velocity is constant except at times that form the events of some point process. It represents an interpretable continuous-time…