Nonparametric inference of discretely sampled stable Lévy processes

DOI10.1016/j.jeconom.2009.04.007zbMath1431.62345OpenAlexW2091937665MaRDI QIDQ2630086

Zhibiao Zhao, Wei-Biao Wu

Publication date: 25 July 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.04.007

zbMATH Keywords

quantile regressionLévy processstable processnonparametric estimationstable indexBahadur-Kiefer representationspot volatility

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05)

Related Items (12)

Trading-flow assisted estimation of the jump activity index ⋮ Confidence interval of the jump activity index based on empirical likelihood using high frequency data ⋮ Modeling high-frequency financial data by pure jump processes ⋮ Nonparametric density estimation in compound Poisson processes using convolution power estimators ⋮ Local linear estimator for stochastic differential equations driven by \(\alpha\)-stable Lévy motions ⋮ A data-driven framework for consistent financial valuation and risk measurement ⋮ Near-optimal estimation of jump activity in semimartingales ⋮ On the jump activity index for semimartingales ⋮ A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation ⋮ Nonparametric Gaussian inference for stable processes ⋮ Testing for pure-jump processes for high-frequency data ⋮ Nonparametric estimation of periodic signal disturbed by α-stable noises

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