Estimation and Calibration of Lévy Models via Fourier Methods
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Publication:2786961
DOI10.1007/978-3-319-12373-8_1zbMath1332.62279OpenAlexW2189438240MaRDI QIDQ2786961
Denis Belomestny, Markus Reiss
Publication date: 24 February 2016
Published in: Lévy Matters IV (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-12373-8_1
infinitely divisible distributionBlumenthal-Getoor indexminimax ratejump intensitytime-changed Lévy processmisspecified modelLévy-Khinchine formulaexponential Lévy modelspectral estimatoroption calibration
Applications of statistics to actuarial sciences and financial mathematics (62P05) Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70) Markov processes: estimation; hidden Markov models (62M05) Economic time series analysis (91B84)
Related Items (8)
Statistical inference for generalized Ornstein-Uhlenbeck processes ⋮ Statistical inference for moving‐average Lévy‐driven processes: Fourier‐based approach ⋮ Unnamed Item ⋮ Low-frequency estimation of continuous-time moving average Lévy processes ⋮ Statistical inference for misspecified ergodic Lévy driven stochastic differential equation models ⋮ Limit theorems, scaling of moments and intermittency for integrated finite variance supOU processes ⋮ Bootstrap confidence bands for spectral estimation of Lévy densities under high-frequency observations ⋮ Nonparametric inference on Lévy measures of compound Poisson-driven Ornstein-Uhlenbeck processes under macroscopic discrete observations
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