Variational sums and power variation: a unifying approach to model selection and estimation in semimartingale models

Woerner Jeannette H. C.

Statistics & Risk Modeling, 2003, vol. 21, issue 1, 47-68

Abstract: In the framework of general semimartingale models we provide limit theorems for variational sums including the p-th power variation, i.e. the sum of p-th absolute powers of increments of a process. This gives new insight in the use of quadratic and realised power variation as an estimate for the integrated volatility in finance. It also provides a criterion to decide from high frequency data, whether a jump component should be included in the model. Furthermore, results on the asymptotic behaviour of integrals with respect to Lévy processes, estimates for integrals with respect to Lévy measures and non-parametric estimation for Lévy processes will be derived and viewed in the framework of variational sums.

Date: 2003
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
https://doi.org/10.1524/stnd.21.1.47.20316 (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bpj:strimo:v:21:y:2003:i:1/2003:p:47-68:n:6

Ordering information: This journal article can be ordered from
https://www.degruyter.com/journal/key/strm/html

DOI: 10.1524/stnd.21.1.47.20316

Access Statistics for this article

Statistics & Risk Modeling is currently edited by Robert Stelzer

More articles in Statistics & Risk Modeling from De Gruyter
Bibliographic data for series maintained by Peter Golla ().