Small-time moment asymptotics for Lévy processes
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Publication:958971
DOI10.1016/j.spl.2008.07.012zbMath1489.60074OpenAlexW2068365256MaRDI QIDQ958971
Publication date: 10 December 2008
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2008.07.012
Related Items (26)
Nonparametric inference of gradual changes in the jump behaviour of time-continuous processes ⋮ High-frequency Donsker theorems for Lévy measures ⋮ Central Limit Theorems for the Non-Parametric Estimation of Time-Changed Lévy Models ⋮ Estimating Gerber-Shiu functions from discretely observed Lévy driven surplus ⋮ Nonparametric inference on Lévy measures and copulas ⋮ Intermittency in the small-time behavior of Lévy processes ⋮ Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation ⋮ Power utility maximization in exponential Lévy models: Convergence of discrete-time to continuous-time maximizers ⋮ Bayesian inference on volatility in the presence of infinite jump activity and microstructure noise ⋮ Efficient maximum likelihood estimation for Lévy-driven Ornstein-Uhlenbeck processes ⋮ On the domain of fractional Laplacians and related generators of Feller processes ⋮ Nonparametric estimation of time-changed Lévy models under high-frequency data ⋮ Implementable coupling of Lévy process and Brownian motion ⋮ A non-parametric Bayesian approach to decompounding from high frequency data ⋮ Existence and estimates of moments for Lévy-type processes ⋮ A Gaussian approximation theorem for Lévy processes ⋮ Two-step estimation of ergodic Lévy driven SDE ⋮ A note on the generalized heat content for L\'evy processes ⋮ ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS ⋮ Weak convergence of the empirical truncated distribution function of the Lévy measure of an Itō semimartingale ⋮ Estimation for Lévy processes from high frequency data within a long time interval ⋮ Statistical inference for misspecified ergodic Lévy driven stochastic differential equation models ⋮ BSDEs, Càdlàg Martingale Problems, and Orthogonalization under Basis Risk ⋮ Bootstrap confidence bands for spectral estimation of Lévy densities under high-frequency observations ⋮ Laws of the iterated logarithm for self-normalised Lévy processes at zero ⋮ The estimation for Lévy processes in high frequency data
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