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.

MoreLess

Year of publication:	2010-02
Authors:	Kappus, Johanna ; Reiß, Markus
Institutions:	Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
Subject:	Lévy process \| Lévy-Khinchine characteristics \| Nonparametric estimation \| Inverse problem \| Optimal rates of convergence

More details

Extent:	application/pdf
Series:	SFB 649 Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number SFB649DP2010-015 18 pages
Classification:	G13 - Contingent Pricing; Futures Pricing ; C14 - Semiparametric and Nonparametric Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008629514