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Global jump filters and quasi-likelihood analysis for volatility

Author

Listed:
  • Haruhiko Inatsugu

    (University of Tokyo)

  • Nakahiro Yoshida

    (University of Tokyo)

Abstract

We propose a new estimation scheme for estimation of the volatility parameters of a semimartingale with jumps based on a jump detection filter. Our filter uses all of the data to analyze the relative size of increments and to discriminate jumps more precisely. We construct quasi-maximum likelihood estimators and quasi-Bayesian estimators and show limit theorems for them including $$L^p$$ L p -estimates of the error and asymptotic mixed normality based on the framework of the quasi-likelihood analysis. The global jump filters do not need a restrictive condition for the distribution of the small jumps. By numerical simulation, we show that our “global” method obtains better estimates of the volatility parameter than the previous “local” methods.

Suggested Citation

  • Haruhiko Inatsugu & Nakahiro Yoshida, 2021. "Global jump filters and quasi-likelihood analysis for volatility," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(3), pages 555-598, June.
    • Handle: RePEc:spr:aistmt:v:73:y:2021:i:3:d:10.1007_s10463-020-00768-x
    DOI: 10.1007/s10463-020-00768-x
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    References listed on IDEAS

    as
    1. Nakahiro Yoshida, 2011. "Polynomial type large deviation inequalities and quasi-likelihood analysis for stochastic differential equations," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 63(3), pages 431-479, June.
    2. Uchida, Masayuki & Yoshida, Nakahiro, 2013. "Quasi likelihood analysis of volatility and nondegeneracy of statistical random field," Stochastic Processes and their Applications, Elsevier, vol. 123(7), pages 2851-2876.
    3. Masayuki Uchida & Nakahiro Yoshida, 2014. "Adaptive Bayes type estimators of ergodic diffusion processes from discrete observations," Statistical Inference for Stochastic Processes, Springer, vol. 17(2), pages 181-219, July.
    4. Ogihara, Teppei & Yoshida, Nakahiro, 2014. "Quasi-likelihood analysis for nonsynchronously observed diffusion processes," Stochastic Processes and their Applications, Elsevier, vol. 124(9), pages 2954-3008.
    5. Yasutaka Shimizu & Nakahiro Yoshida, 2006. "Estimation of Parameters for Diffusion Processes with Jumps from Discrete Observations," Statistical Inference for Stochastic Processes, Springer, vol. 9(3), pages 227-277, October.
    6. Yoshida, Nakahiro, 1992. "Estimation for diffusion processes from discrete observation," Journal of Multivariate Analysis, Elsevier, vol. 41(2), pages 220-242, May.
    7. T. Ogihara & N. Yoshida, 2011. "Quasi-likelihood analysis for the stochastic differential equation with jumps," Statistical Inference for Stochastic Processes, Springer, vol. 14(3), pages 189-229, October.
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    Cited by:

    1. Milan Kumar Das & Anindya Goswami & Sharan Rajani, 2023. "Inference of Binary Regime Models with Jump Discontinuities," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 49-86, May.
    2. Yoshida, Nakahiro, 2023. "Asymptotic expansion and estimates of Wiener functionals," Stochastic Processes and their Applications, Elsevier, vol. 157(C), pages 176-248.

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