Nonparametric estimation of time-changed Lévy models under high-frequency data
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Cites work
- Asymptotic properties of power variations of Lévy processes
- Donsker theorems for diffusions: necessary and sufficient conditions
- Foundations of Modern Probability
- scientific article; zbMATH DE number 1639858 (Why is no real title available?)
- scientific article; zbMATH DE number 1639859 (Why is no real title available?)
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- scientific article; zbMATH DE number 1354815 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- Hyperbolic distributions in finance
- Inference in Lévy-type stochastic volatility models
- Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
- Nonparametric estimation for Lévy models based on discrete-sampling
- Nonparametric estimation of time-changed Lévy models under high-frequency data
- On uniform laws of large numbers for ergodic diffusions and consistency of estimators
- Processes of normal inverse Gaussian type
- Risk bounds for the non-parametric estimation of Lévy processes
- Sieve-based confidence intervals and bands for Lévy densities
- Small-time moment asymptotics for Lévy processes
- Stochastic Volatility for Lévy Processes
- The Variance Gamma Process and Option Pricing
- Variational sums and power variation: a unifying approach to model selection and estimation in semimartingale models
Cited in
(27)- Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes
- Testing and inference for fixed times of discontinuity in semimartingales
- Nonparametric inference on Lévy measures of compound Poisson-driven Ornstein-Uhlenbeck processes under macroscopic discrete observations
- Parametric inference for discretely observed subordinate diffusions
- Pricing average options under time-changed Lévy processes
- Inference on the Lévy measure in case of noisy observations
- Asymptotically optimal discretization of hedging strategies with jumps
- Statistical inference for time-changed Lévy processes via Mellin transform approach
- Estimation and Calibration of Lévy Models via Fourier Methods
- Central limit theorems for the non-parametric estimation of time-changed Lévy models
- Nonparametric estimation of time-changed Lévy models under high-frequency data
- Nonparametric inference on Lévy measures and copulas
- Estimation of the activity of jumps in time-changed Lévy models
- Sieve-based confidence intervals and bands for Lévy densities
- A dynamic equilibrium model for U-shaped pricing kernels
- Asymptotic option pricing under pure-jump Lévy processes via nonlinear regression
- Pricing path-dependent options with discrete monitoring under time-changed Lévy processes
- Statistical estimation of Lévy-type stochastic volatility models
- Estimating time-changes in noisy Lévy models
- Adaptive pointwise estimation for pure jump Lévy processes
- A least squares estimator for Lévy-driven moving averages based on discrete time observations
- Spectral estimation of the Lévy density in partially observed affine models
- Asymptotic results for time-changed Lévy processes sampled at hitting times
- The estimation for Lévy processes in high frequency data
- Statistical inference for time-changed Lévy processes via composite characteristic function estimation
- Multivariate asset-pricing model based on subordinated stable processes
- Nonparametric implied Lévy densities
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