Estimating time-changes in noisy L\'evy models

Adam D. Bull

Papers from arXiv.org

Abstract: In quantitative finance, we often model asset prices as a noisy Ito semimartingale. As this model is not identifiable, approximating by a time-changed Levy process can be useful for generative modelling. We give a new estimate of the normalised volatility or time change in this model, which obtains minimax convergence rates, and is unaffected by infinite-variation jumps. In the semimartingale model, our estimate remains accurate for the normalised volatility, obtaining convergence rates as good as any previously implied in the literature.

Date: 2013-12, Revised 2014-11
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Published in Annals of Statistics 2014, Vol. 42, No. 5, 2026-2057

Downloads: (external link)
http://arxiv.org/pdf/1312.5911 Latest version (application/pdf)

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:arx:papers:1312.5911

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().