Title of article
Estimation of the characteristics of a Lévy process
Author/Authors
Gegler، نويسنده , , Achim and Stadtmüller، نويسنده , , Ulrich، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2010
Pages
16
From page
1481
To page
1496
Abstract
We consider a Lévy process that is e.g. used in finance to model stock price developments. We want to estimate the characteristics of that process, based on historical data where we assume that we have discrete, high frequency observations. We introduce a threshold estimation method and show consistency and in the case of finite activity asymptotic normality of these estimators.
Keywords
Asymptotic normal distribution , Consistency , Finite jump activity , high frequency , Infinite jump activity , Stock Price , Threshold estimation
Journal title
Journal of Statistical Planning and Inference
Serial Year
2010
Journal title
Journal of Statistical Planning and Inference
Record number
2220618
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