José Figueroa Lopez

Professor at the Washington University in St. Louis

will give, both on site and on line, the

SEMINAR

Efficient Volatility Estimation for Lévy Processes
with Jumps of Unbounded Variation

Abstract. Statistical inference for stochastic processes based on high-frequency observations has been an active research area for more than a decade. One of the most well-known and widely studied problems is that of estimation of the quadratic variation of the continuous component of an Itô semimartingale with jumps. Several rate- and variance-efficient estimators have been proposed in the literature when the jump component is of bounded variation. However, to date, very few methods can deal with jumps of unbounded variation. By developing new high-order expansions of the truncated moments of a Lévy process, we construct a new rate- and variance-efficient estimator for a class of Lévy processes of unbounded variation, whose small jumps behave like those of a stable Lévy process with Blumenthal-Getoor index less than 8/5. The proposed method is based on a two-step debiasing procedure for the truncated realized quadratic variation of the process. Our Monte Carlo experiments indicate that the method outperforms other efficient alternatives in the literature in the setting covered by our theoretical framework.

All interested people are warmly invited to participate

Professor Figueroa-Lopez is visiting our department from February the 10th to March the 22nd, and from June the 15th to August the 15th

For attendance via Zoom, please register at the following page, we will send you the meeting link:

https://docs.google.com/forms/d/e/1FAIpQLSdJ6PccwEy8tSEngi0JMUKYEJ4yOHuuwur2T3FhI0YSpVhesQ/viewform

Live attendance: the Department of Economics, via Cantarane 24, Vaona room.

Due to the limited number of available seats, interested people should write an e-mail to: cecilia.mancini@univr.it