ESTIMATING THE SKEWNESS IN DISCRETELY OBSERVED LÉVY PROCESSES

DOI10.1017/S0266466604205060MaRDI QIDQ5696355zbMATH OpenFDO

Authors Jeanette H. C. Woerner

Publication date 18 October 2005

Published in Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• Absolute continuity of infinitely divisible distributions
• Asymptotic inference in Levy processes of the discontinuous type
• Processes of normal inverse Gaussian type
• The normal inverse gaussian lévy process: simulation and approximation

Cited in

(12)

• Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes
• Reviewing alternative characterizations of Meixner process
• Statistical analysis for discretely observed Lévy processes
• On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance
• Weighted empirical processes in the nonparametric inference for Lévy processes
• The discrete Hurst range for skew independent two-valued inflows
• Skewness premium with Lévy processes
• A generalized skewness statistic for stationary ergodic martingale differences
• Lévy matters IV. Estimation for discretely observed Lévy processes
• Local asymptotic normality property for Ornstein-Uhlenbeck processes with jumps under discrete sampling
• scientific article; zbMATH DE number 7391999 (Why is no real title available?)
• Nonparametric estimation for a class of Lévy processes

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