Estimation of the characteristics of a Lévy process

DOI10.1016/j.jspi.2009.12.001zbMath1185.62148OpenAlexW1965487563MaRDI QIDQ2270272

Achim Gegler, Ulrich Stadtmüller

Publication date: 18 March 2010

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2009.12.001

zbMATH Keywords

consistencystock pricethreshold estimationhigh frequencyasymptotic normal distributionfinite jump activityinfinite jump activity

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: estimation (62M09) Markov processes: estimation; hidden Markov models (62M05)

Related Items (5)

Estimation of Lévy processes via stochastic programming and Kalman filtering ⋮ Asymptotic option pricing under pure-jump Lévy processes via nonlinear regression ⋮ Optimally thresholded realized power variations for Lévy jump diffusion models ⋮ Second-order properties of thresholded realized power variations of FJA additive processes ⋮ Non parametric estimation of the measure associated with the Lévy–Khintchine canonical representation

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