Volatility and jump activity estimation in a stable Cox-Ingersoll-Ross model
稳定型 Cox–Ingersoll–Ross 模型的波动率与跳跃活跃度估计AI 解读 ↓
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稳定型 Cox–Ingersoll–Ross 模型的波动率与跳跃活跃度估计AI 解读 ↓
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We consider the parametric estimation of the volatility and jump activity in a stable Cox-Ingersoll-Ross ($α$-stable CIR) model driven by a standard Brownian Motion and a non-symmetric stable Lévy process with jump activity $α\in (1,2)$. The main difficulties to obtain rate efficiency in estimating these quantities arise from the superposition of the diffusion component with jumps of infinite variation. Extending the approach proposed in Mies (2020), we address the joint estimation of the volatility, scaling and jump activity parameters from high-frequency observations of the process and prove that the proposed estimators are rate optimal up to a logarithmic factor.
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