Method of moment estimation in time-changed Lévy models

DOI10.1524/stnd.2011.1076zbMath1215.62086OpenAlexW2320742476MaRDI QIDQ3011079

Johannes Muhle-Karbe, Jan Kallsen

Publication date: 28 June 2011

Published in: Statistics & Decisions (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/c2a744ed0888592cbdbebe489b013f8e2675b39d

zbMATH Keywords

mixing propertyvolatility estimation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Markov processes: estimation; hidden Markov models (62M05)

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