相关论文: Global jump filters and quasi-likelihood analysis …

For a semimartingale with jumps, we propose a new estimation method for integrated volatility, i.e., the quadratic variation of the continuous martingale part, based on the global jump filter proposed by Inatsugu and Yoshida [8]. To decide…

We propose new nonparametric estimators of the integrated volatility of an It\^{o} semimartingale observed at discrete times on a fixed time interval with mesh of the observation grid shrinking to zero. The proposed estimators achieve the…

We propose methods to infer jumps of a semi-martingale, which describes long-term price dynamics, based on discrete, noisy, high-frequency observations. Different to the classical model of additive, centered market microstructure noise, we…

In quantitative finance, we often model asset prices as semimartingales, with drift, diffusion and jump components. The jump activity index measures the strength of the jumps at high frequencies, and is of interest both in model selection…

This work develops change-point methods for statistics of high-frequency data. The main interest is in the volatility of an It\^{o} semi-martingale, the latter being discretely observed over a fixed time horizon. We construct a…

We provide a comprehensive analysis of spot volatility inference in pure-jump semimartingales under two asymptotic settings: fixed-$k$, where each local window uses a fixed number of observations, and large-$k$, where this number grows with…

This paper introduces test and estimation procedures for abrupt and gradual changes in the entire jump behaviour of a discretely observed Ito semimartingale. In contrast to existing work we analyse jumps of arbitrary size which are not…

The typical central limit theorems in high-frequency asymptotics for semimartingales are results on stable convergence to a mixed normal limit with an unknown conditional variance. Estimating this conditional variance usually is a hard…

We consider statistical inference for a class of continuous semimartingale regression models based on high-frequency observations subject to contamination by finite-activity jumps and spike noise. By employing density-power weighting and…

Asymptotic theory for approximate martingale estimating functions is generalised to diffusions with finite-activity jumps, when the sampling frequency and terminal sampling time go to infinity. Rate optimality and efficiency are of…

We consider the problem of detecting jumps in an otherwise smoothly evolving trend whilst the covariance and higher-order structures of the system can experience both smooth and abrupt changes over time. The number of jump points is allowed…

Volatility estimation is a central problem in financial econometrics, but becomes particularly challenging when jump activity is high, a phenomenon observed empirically in highly traded financial securities. In this paper, we revisit the…

The scope of this manuscript is to review some recent developments in statistics for discretely observed semimartingales which are motivated by applications for financial markets. Our journey through this area stops to take closer looks at…

Many methods for estimating integrated volatility and related functionals of semimartingales in the presence of jumps require specification of tuning parameters for their use in practice. In much of the available theory, tuning parameters…

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…

This article investigates discrete-time approximations of stochastic integrals driven by semimartingales with jumps via weighted bounded mean oscillation (BMO) approach. This approach enables $L_p$-estimates, $p \in (2, \infty)$, for the…

This paper proposes novel tests for the absence of jumps in a univariate semimartingale and for the absence of common jumps in a bivariate semimartingale. Our methods rely on ratio statistics of power variations based on irregular…

We study the estimation of leverage effect and volatility of volatility by using high-frequency data with the presence of jumps. We first construct spot volatility estimator by using the empirical characteristic function of the…

The objective of this paper is to study the filtering problem for a system of partially observable processes $(X, Y)$, where $X$ is a non-Markovian pure-jump process representing the signal and $Y$ is a general jump-diffusion which provides…

In this study, we develop a deterministic nonlinear filtering algorithm based on a high-dimensional version of Kitagawa (1987) to evaluate the likelihood function of models that allow for stochastic volatility and jumps whose arrival…