2021/01/03 by José E. Figueroa-López, José E. Figueroa‐López, Figueroa-López, José E. +4 · 1 citation
Economics, Econometrics and Finance · Mathematics · #Econometrics (econ.EM) #FOS: Computer and information sciences #FOS: Economics and business #Financial Risk and Volatility Modeling #Methodology (stat.ME) #Statistical Distribution Estimation and Applications #Statistical Finance (q-fin.ST) #Stochastic processes and financial applications #econ.EM #q-fin.ST #stat.ME
paper · pdf · doi:10.48550/arxiv.2101.00565
33 pages
openalex publication_date 2021/01/03 · arxiv created 2022/02/24 · arxiv updated 2022/02/25 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We propose a new method for the estimation of a semiparametric tempered stable Lévy model. The estimation procedure combines iteratively an approximate semiparametric method of moment estimator, Truncated Realized Quadratic Variations (TRQV), and a newly found small-time high-order approximation for the optimal threshold of the TRQV of tempered stable processes. The method is tested via simulations to estimate the volatility and the Blumenthal-Getoor index of the generalized CGMY model as well as the integrated volatility of a Heston-type model with CGMY jumps. The method outperforms other efficient alternatives proposed in the literature when working with a Lévy process (i.e., the volatility is constant), or when the index of jump intensity Y is larger than 3/2 in the presence of stochastic volatility.