ESTIMATING THE SKEWNESS IN DISCRETELY OBSERVED LÉVY PROCESSES

DOI10.1017/S0266466604205060zbMATH Open1071.62071MaRDI QIDQ5696355FDOQ5696355

Authors: Jeanette H. C. Woerner 

Publication date: 18 October 2005

Published in: Econometric Theory (Search for Journal in Brave)

Recommendations

• On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance
• Statistical analysis for discretely observed Lévy processes
• Fisher's Information for Discretely Sampled Lvy Processes
• Volatility estimators for discretely sampled Lévy processes
• Lévy matters IV. Estimation for discretely observed Lévy processes

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)

Cites Work

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

Cited In (12)

• A generalized skewness statistic for stationary ergodic martingale differences
• Title not available (Why is that?)
• Weighted empirical processes in the nonparametric inference for Lévy processes
• Reviewing alternative characterizations of Meixner process
• On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance
• Lévy matters IV. Estimation for discretely observed Lévy processes
• Nonparametric estimation for a class of Lévy processes
• Skewness premium with Lévy processes
• Local asymptotic normality property for Ornstein-Uhlenbeck processes with jumps under discrete sampling
• Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes
• The discrete Hurst range for skew independent two-valued inflows
• Statistical analysis for discretely observed Lévy processes

This page was built for publication: ESTIMATING THE SKEWNESS IN DISCRETELY OBSERVED LÉVY PROCESSES

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5696355)