Estimation of the activity of jumps in time-changed Lévy models
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Cites work
- scientific article; zbMATH DE number 3947305 (Why is no real title available?)
- scientific article; zbMATH DE number 4072103 (Why is no real title available?)
- scientific article; zbMATH DE number 4000257 (Why is no real title available?)
- Abelian theorem for stochastic volatility models and semiparametric estimation of the signal space.
- Abelian theorems for stochastic volatility models with application to the estimation of jump activity
- Asymptotically optimal discretization of hedging strategies with jumps
- Calcul des variations stochastique et processus de sauts
- Change of time and change of measure
- Estimating the Parameters of a Differential Process
- Estimating the degree of activity of jumps in high frequency data
- Financial Modelling with Jump Processes
- Identifying the successive Blumenthal-Getoor indices of a discretely observed process
- Inference and Prediction in Large Dimensions
- Introduction to nonparametric estimation
- Nonparametric estimation of time-changed Lévy models under high-frequency data
- Processes that can be embedded in Brownian motion
- Selected Topics in Characteristic Functions
- Spectral estimation of the fractional order of a Lévy process
- Statistical estimation of Lévy-type stochastic volatility models
- Statistical inference for time-changed Lévy processes via composite characteristic function estimation
- Tauberian Theory
Cited in
(18)- Identifying the successive Blumenthal-Getoor indices of a discretely observed process
- Series representations for multivariate time-changed Lévy models
- Estimating the degree of activity of jumps in high frequency data
- Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes
- Multivariate asset-pricing model based on subordinated stable 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
- Estimating time-changes in noisy Lévy models
- Central limit theorems for the non-parametric estimation of time-changed Lévy models
- Method of moment estimation in time-changed 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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