Central Limit Theorems for the Non-Parametric Estimation of Time-Changed Lévy Models

DOI10.1111/J.1467-9469.2010.00728.XzbMath1246.60035OpenAlexW1955196695MaRDI QIDQ2911696

José E. Figueroa-López

Publication date: 1 September 2012

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9469.2010.00728.x

zbMATH Keywords

Lévy processesstochastic volatilitynon-parametric estimationtime-changed Lévy modelshigh-frequency sampling inference

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Central limit and other weak theorems (60F05)

Related Items (4)

Parametric inference for discretely observed subordinate diffusions ⋮ Asymptotic results for time-changed Lévy processes sampled at hitting times ⋮ 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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