The estimation for Lévy processes in high frequency data

DOI10.1080/07474938.2016.1188876zbMath1491.62165OpenAlexW2411162242MaRDI QIDQ5860893

Jing Zheng, Baolin Xu, Wentao Gu, Zong-Wu Cai

Publication date: 4 March 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2016.1188876

zbMATH Keywords

Lévy processLévy measurejumphigh frequencyfinancial data

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05)

Cites Work

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• Estimating the degree of activity of jumps in high frequency data
• Small-time moment asymptotics for Lévy processes
• Volatility estimators for discretely sampled Lévy processes
• Nonparametric estimation for pure jump Lévy processes based on high frequency data
• Kernel estimates of the tail index of a distribution
• A simple general approach to inference about the tail of a distribution
• Kernel-type estimators for the extreme value index
• Non-parametric adaptive estimation of the drift for a jump diffusion process
• On non-parametric estimation of the Lévy kernel of Markov processes
• Asymptotic properties of power variations of Lévy processes

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