Nonparametric estimation in models with Lévy type jumps and stochastic volatility

We introduce a nonparametric estimator of the volatility function in univariate processes with Lévy type jumps and stochastic volatility when we observe the state variable at discrete times. Our results rely on the fact that it is possible to recognize the discontinuous part of the state variable from those squared increments between observations exceeding a suitable threshold. We discuss the implementation of the estimator with high-frequency data

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Year of publication:	2005-05
Authors:	Mancini, Cecilia ; Renò, Roberto
Institutions:	Dipartimento di Economia Politica e Statistics, Facoltà di Economia "Richard M. Goodwin"

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Extent:	application/pdf
Series:	Department of Economics University of Siena.
Type of publication:	Book / Working Paper
Language:	English
Classification:	C14 - Semiparametric and Nonparametric Methods ; C6 - Mathematical Methods and Programming
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008492955