Speed of convergence of the threshold estimator of integrated variance

Cecilia Mancini ()
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Cecilia Mancini: Dipartimento di Matematica per le Decisioni, Universita' degli Studi di Firenze

No 2010-03, Working Papers - Mathematical Economics from Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa

Abstract: In this paper we consider a semimartingale model for the evolution of the price of a financial asset, driven by a Brownian motion (plus drift) and possibly infinite activity jumps. Given discrete observations, the threshold estimator is able to separate the integrated variance from the sum of the squared jumps. This has importance in measuring and forecasting the asset risks. The exact convergence speed was found in the literature only when the jumps are of finite variation. Here we give the speed even in presence of infinite variation jumps, as they appear e.g. in some cgmy plus diffusion models.

Keywords: Integrated variance; threshold estimator; convergence speed; infinite activity stable Le'vy jumps. (search for similar items in EconPapers)
Pages: 9 pages
Date: 2010-04
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:flo:wpaper:2010-03

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