Estimation of the characteristics of a Lévy process
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Publication:2270272
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
consistencystock pricethreshold estimationhigh frequencyasymptotic normal distributionfinite jump activityinfinite jump activity
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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
Cites Work
- A Jump-Diffusion Model for Option Pricing
- Nonparametric estimation for Lévy processes from low-frequency observations
- Threshold estimation of Markov models with jumps and interest rate modeling
- Large deviation principle for an estimator of the diffusion coefficient in a jump-diffusion process
- Volatility estimators for discretely sampled Lévy processes
- Testing for jumps in a discretely observed process
- Asymptotic properties of realized power variations and related functionals of semimartingales
- Limit theorems for multipower variation in the presence of jumps
- Estimating the Parameters of a Differential Process
- Density Estimation of Lévy Measures for Discretely Observed Diffusion Processes with Jumps
- Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
- A Jump‐diffusion Model for Exchange Rates in a Target Zone
- Probability: A Graduate Course
- Lévy Processes and Stochastic Calculus
- Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model
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