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Nonparametric estimation in models with Lévy type jumps and stochastic volatility

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  • Cecilia Mancini

  • Roberto Renò

Abstract

We introduce a nonparametric estimator of the volatility function in univariate processes with Lévy type jumps and stochastic volatility when we observe the state variable at discrete times. Our results rely on the fact that it is possible to recognize the discontinuous part of the state variable from those squared increments between observations exceeding a suitable threshold. We discuss the implementation of the estimator with high-frequency data

Suggested Citation

  • Cecilia Mancini & Roberto Renò, 2005. "Nonparametric estimation in models with Lévy type jumps and stochastic volatility," Department of Economics University of Siena 451, Department of Economics, University of Siena.
    • Handle: RePEc:usi:wpaper:451
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    References listed on IDEAS

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    1. Ait-Sahalia, Yacine, 2004. "Disentangling diffusion from jumps," Journal of Financial Economics, Elsevier, vol. 74(3), pages 487-528, December.
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    More about this item

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling

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