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Efficient Integrated Volatility Estimation in the Presence of Infinite Variation Jumps via Debiased Truncated Realized Variations
Several rate- and variance-efficient estimators have been proposed in the literature when the jump component is of bounded variation.
Efficient Volatility Estimation for Lévy Processes with Jumps of Unbounded Variation
The proposed method is based on a two-step debiasing procedure for the truncated realized quadratic variation of the process.
Market Making with Stochastic Liquidity Demand: Simultaneous Order Arrival and Price Change Forecasts
We provide an explicit characterization of the optimal market making strategy in a discrete-time Limit Order Book (LOB).
Estimation of Tempered Stable Lévy Models of Infinite Variation
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.
Kernel Estimation of Spot Volatility with Microstructure Noise Using Pre-Averaging
We prove a Central Limit Theorem for the estimation error with an optimal rate and study the optimal selection of the bandwidth and kernel functions.
