Journal of Theoretical Probability

, Volume 31, Issue 3, pp 1606–1624 | Cite as

Large Deviations of the Threshold Estimator of Integrated (Co-)Volatility Vector in the Presence of Jumps

  • Hacène DjelloutEmail author
  • Hui Jiang


Recently considerable interest has been paid to the estimation problem of the realized volatility and covolatility by using high-frequency data of financial price processes in financial econometrics. Threshold estimation is one of the useful techniques in the inference for jump-type stochastic processes from discrete observations. In this paper, we adopt the threshold estimator introduced by Mancini (Scand Actuar J 1:42–52, 2004) where only the variations under a given threshold function are taken into account. The purpose of this work is to investigate large and moderate deviations for the threshold estimator of the integrated variance–covariance vector. This paper is an extension of the previous work in Djellout et al. (Stoch Process Appl 1–35, 2017), where the problem has been studied in the absence of a jump component. We will use the approximation lemma to prove large and moderate deviations results. As the reader can expect, we obtain the same results as in the case without jump.


Moderate deviation principle Large deviation principle Diffusion Discrete-time observation Quadratic variation Realized volatility Lévy process Threshold estimator Poisson jumps 

Mathematics Subject Classification (2010)

60F10 62J05 60J05 


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Copyright information

© Springer Science+Business Media New York 2017

Authors and Affiliations

  1. 1.Laboratoire de Mathématiques, CNRS UMR 6620Université Blaise PascalAubire CedexFrance
  2. 2.Department of MathematicsNanjing University of Aeronautics and AstronauticsNanjingChina

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