Estimation of the activity of jumps in time-changed Lévy models
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Publication:391841
DOI10.1214/13-EJS870zbMATH Open1293.60054MaRDI QIDQ391841FDOQ391841
Authors: D. Belomestny, Vladimir Panov 
Publication date: 13 January 2014
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.ejs/1386943910
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Processes with independent increments; Lévy processes (60G51) Inference from stochastic processes (62M99)
Cites Work
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- Selected Topics in Characteristic Functions
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- Calcul des variations stochastique et processus de sauts
- Processes that can be embedded in Brownian motion
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- Estimating the Parameters of a Differential Process
- Statistical estimation of Lévy-type stochastic volatility models
- Identifying the successive Blumenthal-Getoor indices of a discretely observed process
- Spectral estimation of the fractional order of a Lévy process
Cited In (18)
- Identifying the successive Blumenthal-Getoor indices of a discretely observed process
- Series representations for multivariate time-changed Lévy models
- Multivariate asset-pricing model based on subordinated stable processes
- Estimating the degree of activity of jumps in high frequency data
- Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes
- Modelling the bitcoin prices and media attention to bitcoin via the jump-type processes
- Model selection for Lévy measures in diffusion processes with jumps from discrete observations
- Asymptotic results for time-changed Lévy processes sampled at hitting times
- Rate-optimal estimation of the Blumenthal-Getoor index of a Lévy process
- Central limit theorems for the non-parametric estimation of time-changed Lévy models
- Method of moment estimation in time-changed Lévy models
- Estimating time-changes in noisy Lévy models
- Jump activity estimation for pure-jump semimartingales via self-normalized statistics
- Path dynamics of time-changed Lévy processes: a martingale approach
- Estimation and Calibration of Lévy Models via Fourier Methods
- Classification of Lévy processes with parabolic Kolmogorov backward equations
- Minimax rates for the covariance estimation of multi-dimensional Lévy processes with high-frequency data
- Testing and inference for fixed times of discontinuity in semimartingales
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