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Parametric Estimation of Lévy Processes · Study

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ChapterParametric Estimation of Lévy Processes

H. Masuda2014

Chapter2014

Parametric Estimation of Lévy Processes

22 citations·0/0 files stored·Lecture notes in mathematics

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Stochastic processes and financial applications Point processes and geometric inequalities Probability and Risk Models

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References

1997Processes of normal inverse Gaussian type 1996G.Samorodnitsky,M.S.Taqqu:Stable non-Gaussian Random Processes--Stochastic Models with Infinite Variance 2006Tempering stable processes 1999Statistical inference for diffusion type processes 2001Approximations of small jumps of Lévy processes with a view towards simulation 2006A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales 2000Lévy Processes in Finance: Theory, Numerics, and Empirical Facts 2012Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data

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2018Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy processarticle · 7 shared references 2008Maximum likelihood estimation in processes of Ornstein-Uhlenbeck typechapter · 5 shared references 2013Convergence of Gaussian quasi-likelihood random fields for ergodic Lévy driven SDE observed at high frequencyarticle · 4 shared references 2013Least squares estimators for discretely observed stochastic processes driven by small Lévy noisesarticle · 4 shared references 2008Time Change, Volatility, and Turbulencechapter · 4 shared references 2011Local asymptotic normality for normal inverse Gaussian Lévy processes with high-frequency samplingarticle · 4 shared references

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Year2014

Typechapter

Published2014-11-11

VenueLecture notes in mathematics

ISSN-L0075-8434

Languageen

Citations22

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-319-12373-8_3

openalex_workW136751101

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