Nonparametric low-frequency Lévy copula estimation in a general framework

DOI10.1080/10485252.2018.1474215MaRDI QIDQ5375946zbMATH OpenOpenAlexFDO

Authors Christian Palmes, Benedikt Funke, Babak S. Hosseini

Publication date 17 September 2018

Published in Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10485252.2018.1474215

zbMATH Keywords

low-frequency dataLévy copulaLévy measuremultidimensional Lévy processesstatistical inference for jumps

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Processes with independent increments; Lévy processes (60G51) Asymptotic properties of nonparametric inference (62G20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12)

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Cites work

• A Donsker theorem for Lévy measures
• Asymptotic Statistics
• Characterization of dependence of multidimensional Lévy processes using Lévy copulas
• Classes of infinitely divisible distributions and densities
• Convergence of stochastic processes
• Decompounding: an estimation problem for Poisson random sums.
• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• scientific article; zbMATH DE number 3399886 (Why is no real title available?)
• Lévy Copulas: Dynamics and Transforms of Upsilon Type
• Modelling dependence in insurance claims process with Lévy copulas
• Nonparametric estimation for Lévy processes from low-frequency observations
• Nonparametric inference on Lévy measures and copulas
• Option pricing when underlying stock returns are discontinuous
• The Pareto Copula, Aggregation of Risks, and the Emperor's Socks
• The pricing of options and corporate liabilities
• Uniform Central Limit Theorems

Cited in

(4)

• Adaptive nonparametric estimation for Lévy processes observed at low frequency
• Nonparametric inference on Lévy measures and copulas
• Nonparametric estimation for Lévy processes from low-frequency observations
• Parametric estimation of a bivariate stable Lévy process

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