Global estimation of realized spot volatility in the presence of price jumps
Type
working paper
Date Issued
2018
Author(s)
Abstract (De)
We propose a non-parametric procedure for estimating the realized spot volatility of a price process described by an Itô semimartingale with Lévy jumps. The procedure integrates the threshold jump elimination technique of Mancini (2009) with a frame (Gabor) expansion of the realized trajectory of spot volatility. We show that the procedure converges in probability in L2([0, T]) for a wide class of spot volatility processes, including those with discontinuous paths. Our analysis assumes the time interval between price observations tends to zero; as a result, the intended application is for the analysis of high frequency financial data.
Funding(s)
Language
English
HSG Classification
contribution to scientific community
HSG Profile Area
SEPS - Quantitative Economic Methods
Refereed
No
Eprints ID
258140
File(s)![Thumbnail Image]()
Name
EWP-1715.pdf
Size
2.11 MB
Format
Adobe PDF
Checksum (MD5)
19a174c47b38ec44f8273d411d9fd0a6