Central Limit Theorems for the Non-Parametric Estimation of Time-Changed Lévy Models
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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, Nonparametric inference on Lévy measures of compound Poisson-driven Ornstein-Uhlenbeck processes under macroscopic discrete observations, Parametric inference for discretely observed subordinate diffusions
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