Nonparametric estimation of time-changed Lévy models under high-frequency data

DOI10.1239/aap/1261669591zbMath1196.62111OpenAlexW2018690217MaRDI QIDQ3558943

José E. Figueroa-López

Publication date: 11 May 2010

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1261669591

zbMATH Keywords

stochastic volatilityLévy processnonparametric estimationhigh-frequency-based inference

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Central limit and other weak theorems (60F05) Markov processes: estimation; hidden Markov models (62M05)

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