Estimation of the characteristics of a Lévy process

DOI10.1016/j.jspi.2009.12.001zbMath1185.62148OpenAlexW1965487563MaRDI QIDQ2270272

Achim Gegler, Ulrich Stadtmüller

Publication date: 18 March 2010

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2009.12.001

zbMATH Keywords

consistencystock pricethreshold estimationhigh frequencyasymptotic normal distributionfinite jump activityinfinite jump activity

Mathematics Subject Classification ID

Related Items (5)

Estimation of Lévy processes via stochastic programming and Kalman filtering ⋮ Asymptotic option pricing under pure-jump Lévy processes via nonlinear regression ⋮ Optimally thresholded realized power variations for Lévy jump diffusion models ⋮ Second-order properties of thresholded realized power variations of FJA additive processes ⋮ Non parametric estimation of the measure associated with the Lévy–Khintchine canonical representation

Cites Work

• A Jump-Diffusion Model for Option Pricing
• Nonparametric estimation for Lévy processes from low-frequency observations
• Threshold estimation of Markov models with jumps and interest rate modeling
• Large deviation principle for an estimator of the diffusion coefficient in a jump-diffusion process
• Volatility estimators for discretely sampled Lévy processes
• Testing for jumps in a discretely observed process
• Asymptotic properties of realized power variations and related functionals of semimartingales
• Limit theorems for multipower variation in the presence of jumps
• Estimating the Parameters of a Differential Process
• Density Estimation of Lévy Measures for Discretely Observed Diffusion Processes with Jumps
• Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
• A Jump‐diffusion Model for Exchange Rates in a Target Zone
• Probability: A Graduate Course
• Lévy Processes and Stochastic Calculus
• Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model
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