Department of Economics and Business Economics

Discretization of Lévy semistationary processes with application to estimation

Research output: Working paperResearch


  • rp14_21

    Submitted manuscript, 656 KB, PDF document

Motivated by the construction of the Ito stochastic integral, we consider a step function method to discretize and simulate volatility modulated Lévy semistationary processes. Moreover, we assess the accuracy of the method with a particular focus on integrating kernels with a singularity at the origin. Using the simulation method, we study the finite sample properties of some recently developed estimators of realized volatility and associated parametric estimators for Brownian semistationary processes. Although the theoretical properties of these estimators have been established under high frequency asymptotics, it turns out that the estimators perform well also in a low frequency setting.
Original languageEnglish
Place of publicationAarhus
PublisherInstitut for Økonomi, Aarhus Universitet
Number of pages30
Publication statusPublished - 12 Aug 2014
SeriesCREATES Research Papers

    Research areas

  • stochastic simulation, Discretization, Lévy semistationary processes, Stochastic volatility, Estimation, Finite sample properties

See relations at Aarhus University Citationformats

Download statistics

No data available

ID: 79576481