José E. Figueroa-López, Ruoting Gong, Yuchen Han
arXiv 3 Jan 2021 · Econometrics · publishedMethodology And Computing In Applied Probability (2022) · 4 citations (OpenAlex)
arXiv:2101.00565 · PDF · DOI · OpenAlex · Extracted main text
We propose a new method for the estimation of a semiparametric tempered stable L\'{e}vy model. The estimation procedure combines iteratively an approximate semiparametric method of moment estimator, Truncated Realized Quadratic Variations (TRQV), and a newly found small-time high-order approximation for the optimal threshold of the TRQV of tempered stable processes. The method is tested via simulations to estimate the volatility and the Blumenthal-Getoor index of the generalized CGMY model as well as the integrated volatility of a Heston-type model with CGMY jumps. The method outperforms other efficient alternatives proposed in the literature when working with a L\'evy process (i.e., the volatility is constant), or when the index of jump intensity $Y$ is larger than $3/2$ in the presence of stochastic volatility.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | J. Jacod and V. Todorov (2014) Efficient Estimation of Integrated Volatility in Presence of Infinite Variation Jumps | 0.874 | 19 | 2 | 100% |
| 2 | F. Mies (2020) Rate-Optimal Estimation of the Blumenthal-Getoor Index of a Lévy Process | 0.874 | 15 | 2 | 100% |
| 3 | J. E. Figueroa-López and S. Ólafsson (2016) Short-Time Asymptotics for the Implied Volatility Skew under a Stochastic Volatility Model with Lévy Jumps | 0.874 | 6 | 2 | 100% |
| 4 | J. E. Figueroa-López and C. Mancini (2019) Optimum Thresholding Using Mean and Conditional Mean Square Error | 0.874 | 5 | 2 | 100% |
| 5 | Y. Aït-Sahalia and J. Jacod (2009) Estimating the Degree of Activity of Jumps in High Frequency Data | 0.843 | 3 | 3 | 100% |
| 6 | J. E. Figueroa-López, R. Gong, and C. Houdré (2016) High-Order Short-Time Expansions for ATM Option Prices of Exponential Lévy Models self | 0.737 | 3 | 2 | 100% |
| 7 | K. Sato (1999) Lévy Processes and Infinitely Divisible Distributions | 0.644 | 4 | 1 | 100% |
| 8 | J. E. Figueroa-López (2012) Statistical Estimation of Lévy-Type Stochastic Volatility Models | 0.644 | 2 | 2 | 100% |
| 9 | R. Cont and P. Tankov (2004) Financial Modelling with Jump Processes | 0.511 | 2 | 1 | 100% |
| 10 | J. E. Figueroa-López, R. Gong, and C. Houdré (2017) Third-Order Short-Time Expansions for Close-to-the-Money Option Prices under the CGMY Model self | 0.511 | 2 | 1 | 100% |
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