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- W3216505536 abstract "We propose a new method for the estimation of a semiparametric tempered stable L'{e}vy model. The estimation procedure combines iteratively an approximate semiparametric method of moment estimator, Truncated Realized Quadratic Variations (TRQV), and a newly found small-time high-order approximation for the optimal threshold of the TRQV of tempered stable processes. 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. The method outperforms other efficient alternatives proposed in the literature when working with a L'evy process (i.e., the volatility is constant), or when the index of jump intensity $Y$ is larger than $3/2$ in the presence of stochastic volatility." @default.
- W3216505536 created "2021-12-06" @default.
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- W3216505536 date "2021-01-03" @default.
- W3216505536 modified "2023-09-24" @default.
- W3216505536 title "Estimation of Tempered Stable L'{e}vy Models of Infinite Variation" @default.
- W3216505536 doi "https://doi.org/10.48550/arxiv.2101.00565" @default.
- W3216505536 hasPublicationYear "2021" @default.
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