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基于均方误差与条件均方误差的最优阈值选择AI 解读

We consider a univariate semimartingale model for (the logarithm of) an asset price, containing jumps having possibly infinite activity. The nonparametric threshold estimator IV̂n of the integrated variance IV≔∫0Tσs2ds proposed in Mancini (2009) is constructed using observations on a discrete time grid, and precisely it sums up the squared increments of the process when they are below a threshold, which depends on the observation time step and, sometimes, model parameters or…

离散观测下布朗协变与共同跳跃的分离识别AI 解读

When the covariance between the risk factors of asset prices is due to both Brownian and jump components, the realized covariation (RC) approaches the sum of the integrated covariation (IC) with the sum of the co-jumps, as the observation frequency increases to infinity, in a finite and fixed time horizon. In this paper the two components are consistently separately estimated within a semimartingale framework with possibly infinite activity jumps. The threshold (or…

带跳跃马尔可夫模型的阈值估计与利率建模AI 解读

We reconstruct the level-dependent diffusion coefficient of a univariate semimartingale with jumps which is observed discretely. The consistency and asymptotic normality of our estimator are provided in the presence of both finite and infinite activity (finite variation) jumps. Our results rely on kernel estimation, using the properties of the local time of the data generating process, and the fact that it is possible to disentangle the discontinuous part of the state…