Estimating time-changes in noisy Lévy models

DOI10.1214/14-AOS1250zbMath1305.62387arXiv1312.5911MaRDI QIDQ480983

Adam D. Bull

Publication date: 12 December 2014

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1312.5911

zbMATH Keywords

Lévy processvolatilitymicrostructure noisetime-changeItō semimartingale

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35)

Related Items (6)

Statistical inference for time-changed Lévy processes via Mellin transform approach ⋮ Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes ⋮ Parametric inference for discretely observed subordinate diffusions ⋮ Testing and inference for fixed times of discontinuity in semimartingales ⋮ Higher-order small time asymptotic expansion of Itô semimartingale characteristic function with application to estimation of leverage from options ⋮ Near-optimal estimation of jump activity in semimartingales

This page was built for publication: Estimating time-changes in noisy Lévy models