Department of Economics and Business Economics

Discretization of Lévy semistationary processes with application to estimation

Research output: Working paper/Preprint Working paperResearch

Standard

Discretization of Lévy semistationary processes with application to estimation. / Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko.

Aarhus : Institut for Økonomi, Aarhus Universitet, 2014.

Research output: Working paper/Preprint Working paperResearch

Harvard

APA

Bennedsen, M., Lunde, A., & Pakkanen, M. (2014). Discretization of Lévy semistationary processes with application to estimation. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers No. 2014-21

CBE

MLA

Bennedsen, Mikkel, Asger Lunde, and Mikko Pakkanen Discretization of Lévy semistationary processes with application to estimation. Aarhus: Institut for Økonomi, Aarhus Universitet. (CREATES Research Papers; Journal number 2014-21). 2014., 30 p.

Vancouver

Author

Bennedsen, Mikkel ; Lunde, Asger ; Pakkanen, Mikko. / Discretization of Lévy semistationary processes with application to estimation. Aarhus : Institut for Økonomi, Aarhus Universitet, 2014. (CREATES Research Papers; No. 2014-21).

Bibtex

@techreport{3097e3dfec034286b549211e04db7d21,
title = "Discretization of L{\'e}vy semistationary processes with application to estimation",
abstract = "Motivated by the construction of the Ito stochastic integral, we consider a step function method to discretize and simulate volatility modulated L{\'e}vy 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.",
keywords = "Stochastic simulation, discretization, L{\'e}vy semistationary processes, stochastic volatility, estimation, finite sample properties, stochastic simulation, Discretization, L{\'e}vy semistationary processes, Stochastic volatility, Estimation, Finite sample properties",
author = "Mikkel Bennedsen and Asger Lunde and Mikko Pakkanen",
year = "2014",
month = aug,
day = "12",
language = "English",
series = "CREATES Research Papers",
publisher = "Institut for {\O}konomi, Aarhus Universitet",
number = "2014-21",
type = "WorkingPaper",
institution = "Institut for {\O}konomi, Aarhus Universitet",

}

RIS

TY - UNPB

T1 - Discretization of Lévy semistationary processes with application to estimation

AU - Bennedsen, Mikkel

AU - Lunde, Asger

AU - Pakkanen, Mikko

PY - 2014/8/12

Y1 - 2014/8/12

N2 - 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.

AB - 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.

KW - Stochastic simulation, discretization, Lévy semistationary processes, stochastic volatility, estimation, finite sample properties

KW - stochastic simulation

KW - Discretization

KW - Lévy semistationary processes

KW - Stochastic volatility

KW - Estimation

KW - Finite sample properties

M3 - Working paper

T3 - CREATES Research Papers

BT - Discretization of Lévy semistationary processes with application to estimation

PB - Institut for Økonomi, Aarhus Universitet

CY - Aarhus

ER -