کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1156492 958834 2015 45 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Fourier transform methods for pathwise covariance estimation in the presence of jumps
ترجمه فارسی عنوان
روش تبدیل فوریه برای تخمین کواریانس مسیری در حضور جهش
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
چکیده انگلیسی

We provide a new non-parametric Fourier procedure to estimate the trajectory of the instantaneous covariance process (from discrete observations of a multidimensional price process) in the presence of jumps extending the seminal work of Malliavin and Mancino (2002, 2009). Our approach relies on a modification of (classical) jump-robust estimators of integrated realized covariance to estimate the Fourier coefficients of the covariance trajectory. Using Fourier–Féjer inversion we reconstruct the path of the instantaneous covariance. We prove consistency and a central limit theorem (CLT) and in particular that the asymptotic estimator variance is smaller by a factor 2/3 in comparison to classical local estimators.The procedure is robust enough to allow for an iteration and we can show theoretically and empirically how to estimate the integrated realized covariance of the instantaneous stochastic covariance process. We apply these techniques to robust calibration problems for multivariate modeling in finance, i.e., the selection of a pricing measure by using time series and derivatives’ price information simultaneously.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 125, Issue 1, January 2015, Pages 116–160
نویسندگان
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