Central Limit Theorems for the Non-Parametric Estimation of Time-Changed Lévy Models
From MaRDI portal
Publication:2911696
DOI10.1111/j.1467-9469.2010.00728.xzbMath1246.60035MaRDI QIDQ2911696
Publication date: 1 September 2012
Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9469.2010.00728.x
Lévy processes; stochastic volatility; non-parametric estimation; time-changed Lévy models; high-frequency sampling inference
60G51: Processes with independent increments; Lévy processes
62P05: Applications of statistics to actuarial sciences and financial mathematics
62G05: Nonparametric estimation
60F05: Central limit and other weak theorems
Related Items
Asymptotic results for time-changed Lévy processes sampled at hitting times, Bootstrap confidence bands for spectral estimation of Lévy densities under high-frequency observations, Nonparametric inference on Lévy measures of compound Poisson-driven Ornstein-Uhlenbeck processes under macroscopic discrete observations, Parametric inference for discretely observed subordinate diffusions
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
- Sieve-based confidence intervals and bands for Lévy densities
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
- Estimating the degree of activity of jumps in high frequency data
- Bipower-type estimation in a noisy diffusion setting
- Small-time moment asymptotics for Lévy processes
- Testing for jumps in a discretely observed process
- Risk bounds for model selection via penalization
- Asymptotic properties of realized power variations and related functionals of semimartingales
- Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
- Nonparametric estimation of time-changed Lévy models under high-frequency data
- Inference in Lévy-type stochastic volatility models
- On the functional central limit theorem and the law of the iterated logarithm for Markov processes
- Asymptotic Statistics
- Variational sums and power variation: a unifying approach to model selection and estimation in semimartingale models
- Stochastic Volatility for Lévy Processes
- Asymptotic properties of power variations of Lévy processes