Estimation of the characteristics of a Lévy process observed at arbitrary frequency

A Lévy process is observed at time points of distance delta until time T. We construct an estimator of the Lévy-Khinchine characteristics of the process and derive optimal rates of convergence simultaneously in T and delta. Thereby, we encompass the usual low- and high-frequency assumptions and obtain also asymptotics in the mid-frequency regime.

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Year of publication:	2010
Authors:	Kappus, Johanna ; Reiß, Markus
Publisher:	Berlin : Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Subject:	Stochastischer Prozess \| Schätztheorie \| Nichtparametrisches Verfahren \| Zeitreihenanalyse \| Lévy process \| Lévy-Khinchine characteristics \| Nonparametric estimation \| Inverse problem \| Optimal rates of convergence

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Series:	SFB 649 Discussion Paper ; 2010-015
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	623848023 [GVK] hdl:10419/39339 [Handle] RePEc:zbw:sfb649:sfb649dp2010-015 [RePEc]
Classification:	G13 - Contingent Pricing; Futures Pricing ; C14 - Semiparametric and Nonparametric Methods
Source:	EconStor

Persistent link: https://www.econbiz.de/10010270819