Real-time estimation scheme for the spot cross volatility of jump diffusion processes

Shigeyoshi Ogawa and Hoang-Long Ngo

Mathematics and Computers in Simulation (MATCOM), 2010, vol. 80, issue 9, 1962-1976

Abstract: Given a finite set of observed data {Xtk(ω0),Ytk(ω0)} of just one sample path at n regularly spaced time of the processes Xt and Yt satisfying dXt=a0(t)dt+a1(t)dW1(t)+a2(t)dW2(t)+dJ1(t),dYt=b0(t)dt+b1(t)dW1(t)+b2(t)dW2(t)+dJ2(t),t∈[0,T], where J1,J2 are jump process, we are to investigate a numerical scheme for the estimation of the value νX,Y(t)=a1(t)b1(t)+a2(t)b2(t) called cross volatility. Our framework also contains the volatility estimation problem as a special case. We will show that our scheme works under mild assumptions on the activity of the jump process Jt.

Keywords: Spot cross volatility; Diffusion process; Jump process; Threshold estimator; Quadratic variation scheme (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378475410000777
Full text for ScienceDirect subscribers only

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:eee:matcom:v:80:y:2010:i:9:p:1962-1976

DOI: 10.1016/j.matcom.2010.01.009

Access Statistics for this article

Mathematics and Computers in Simulation (MATCOM) is currently edited by Robert Beauwens

More articles in Mathematics and Computers in Simulation (MATCOM) from Elsevier
Bibliographic data for series maintained by Catherine Liu ().