{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/jumping-var-order-statistics-volatility","title":"Jumping VaR: Order Statistics Volatility Estimator for Jumps Classification and Market Risk Modeling","arxiv_id":"1803.07021","date":"2018-03-22","proceeding":null,"authors":[],"abstract":"This paper proposes a new integrated variance estimator based on order\nstatistics within the framework of jump-diffusion models. Its ability to\ndisentangle the integrated variance from the total process quadratic variation\nis confirmed by both simulated and empirical tests. For practical purposes, we\nintroduce an iterative algorithm to estimate the time-varying volatility and\nthe occurred jumps of log-return time series. Such estimates enable the\ndefinition of a new market risk model for the Value at Risk forecasting. We\nshow empirically that this procedure outperforms the standard historical\nsimulation method applying standard back-testing approach.","url_abs":"http://arxiv.org/abs/1803.07021v2","url_pdf":"http://arxiv.org/pdf/1803.07021v2.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"abstracts"},"code_links":[{"paper_slug":"jumping-var-order-statistics-volatility","repo_url":"https://github.com/sigmaquadro/VolatilityEstimator","is_official":1,"mentioned_in_paper":1,"mentioned_in_github":1,"framework":"none","reach":null}],"tasks":[{"task_slug":"time-series-1","task_name":"Time Series"},{"task_slug":"time-series","task_name":"Time Series Analysis"}],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}