The estimation for Lévy processes in high frequency data
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Cites work
- A simple general approach to inference about the tail of a distribution
- Asymptotic properties of power variations of Lévy processes
- Estimating the degree of activity of jumps in high frequency data
- Estimation for Lévy processes from high frequency data within a long time interval
- scientific article; zbMATH DE number 918811 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- Kernel estimates of the tail index of a distribution
- Kernel-type estimators for the extreme value index
- Non-parametric adaptive estimation of the drift for a jump diffusion process
- Nonparametric estimation for a class of Lévy processes
- Nonparametric estimation for pure jump Lévy processes based on high frequency data
- On non-parametric estimation of the Lévy kernel of Markov processes
- Small-time moment asymptotics for Lévy processes
- Volatility estimators for discretely sampled Lévy processes
Cited in
(11)- A note on parametric estimation of Lévy moving average processes
- Minimax rates for the covariance estimation of multi-dimensional Lévy processes with high-frequency data
- Estimation of the characteristics of a Lévy process
- Estimation and Calibration of Lévy Models via Fourier Methods
- The double Gaussian approximation for high frequency data
- Nonparametric estimation of time-changed Lévy models under high-frequency data
- Drift estimation of generalized security price processes from high frequency derivative prices
- Statistical estimation of Lévy-type stochastic volatility models
- On the local asymptotic behavior of the likelihood function for Meixner Lévy processes under high-frequency sampling
- Distribution of big claims in a Lévy insurance risk process: Analytics of a new non-parametric estimator
- Volatility estimators for discretely sampled Lévy processes
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