The estimation for Lévy processes in high frequency data

DOI10.1080/07474938.2016.1188876zbMath1491.62165MaRDI QIDQ5860893

Jing Zheng, Baolin Xu, Wentao Gu, Zong-Wu Cai

Publication date: 4 March 2022

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

Full work available at URL: https://doi.org/10.1080/07474938.2016.1188876

zbMATH Keywords

Lévy process; Lévy measure; jump; high frequency; financial data

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

62F12: Asymptotic properties of parametric estimators

62P05: Applications of statistics to actuarial sciences and financial mathematics

62M05: Markov processes: estimation; hidden Markov models