Efficient integrated volatility estimation in the presence of infinite variation jumps via debiased truncated realized variations

Keyphrases

• Lvy Processes 100%
• Infinite Variation Jumps 100%
• Unbounded Variation 100%
• Integrated Volatility Estimation 100%
• Realized Variation 100%
• Active Research 50%
• Process-based 50%
• Truncated Moments 50%
• Monte Carlo Experiment 50%
• Efficient Estimator 50%
• Debiasing 50%
• Semimartingale 50%
• High-frequency Observations 50%
• Jump Component 50%
• Higher-order Expansion 50%
• Quadratic Variation 50%
• Volatility Estimators 50%
• Semimartingales with Jumps 50%
• Bounded Variation 50%
• Realized Quadratic Variation 50%
• Statistical Inference for Stochastic Processes 50%

Mathematics

• Variance 100%
• Lvy Process 100%
• Quadratic Variation 100%
• Bounded Variation 50%
• Statistical Inference for Stochastic Processes 50%
• Monte Carlo Method 50%