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Parametric Estimation of Lévy Processes
16 references·0 citing·45 second hop
Parametric Estimation of Lévy Processes (2014)Parametric Estimation of Lévy ProcessesTempered stable distributions and processes (2013)Tempered stable distributions…Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data (2012)Analyzing the Spectrum of Ass…Nonparametric tests for pathwise properties of semimartingales (2011)Nonparametric tests for pathw…On simulation of tempered stable random variates (2010)On simulation of tempered sta…Tempering stable processes (2006)Tempering stable processesEstimation of Parameters for Diffusion Processes with Jumps from Discrete Observations (2006)Estimation of Parameters for …A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales (2006)A Central Limit Theorem for R…Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model (2004)Estimation of the Characteris…Hyperbolic Processes in Finance (2003)Hyperbolic Processes in Finan…Normal Modified Stable Processes (2001)Normal Modified Stable Proces…Approximations of small jumps of Lévy processes with a view towards simulation (2001)Approximations of small jumps…Lévy Processes in Finance: Theory, Numerics, and Empirical Facts (2000)Lévy Processes in Finance: Th…Statistical inference for diffusion type processes (1999)Statistical inference for dif…Processes of Meixner type (1999)Processes of Meixner typeProcesses of normal inverse Gaussian type (1997)Processes of normal inverse G…G.Samorodnitsky,M.S.Taqqu:Stable non-Gaussian Random Processes--Stochastic Models with Infinite Variance (1996)G.Samorodnitsky,M.S.Taqqu:Sta…The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)Numerical valuation of options with jumps in the underlying (2004)Brownian Motion and Stochastic Calculus (2007)PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH (2008)Analysis of Fourier Transform Valuation Formulas and Applications (2010)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Limit Theorems for Stochastic Processes (2003)Modeling and Forecasting Realized Volatility (2003)Limit theorems for multipower variation in the presence of jumps (2006)Measuring Downside Risk - Realised Semivariance (2008)Estimators of fractal dimension: Assessing the roughness of time series and spatial data (2010)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Stochastic Volatility for Lévy Processes (2003)Characterization of dependence of multidimensional Lévy processes using Lévy copulas (2006)The Theory of Scale Functions for Spectrally Negative Lévy Processes (2012)Limit Theorems for Stochastic Processes (1987)Estimation of an Ergodic Diffusion from Discrete Observations (1997)Pricing Stock Options in a Jump‐Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods (1997)Least squares estimator for Ornstein–Uhlenbeck processes driven by α -stable motions (2009)Estimation of Jump Tails (2011)Quasi-likelihood analysis for the stochastic differential equation with jumps (2011)Estimating quadratic variation using realized variance (2002)Time-changed Lévy processes and option pricing (2003)Stochastic Integration and Differential Equations (2005)Option pricing when underlying stock returns are discontinuous (1976)Martingales and stochastic integrals in the theory of continuous trading (1981)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation (2014)Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks (2020)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Making Markov martingales meet marginals: with explicit constructions (2002)Diffusion-type models with given marginal distribution and autocorrelation function (2005)Non-Gaussian Bayesian Geostatistical Modeling (2006)Modelling by Lévy Processess for Financial Econometrics (2001)Generalized Hyperbolic and Inverse Gaussian Distributions: Limiting Cases and Approximation of Processes (2004)Pricing Options in Jump-Diffusion Models: An Extrapolation Approach (2007)A critical look at Lo's modified R/S statistic (1999)Regular variation of GARCH processes (2002)Arbitrage in fractional Brownian motion models (2003)2005): Statistical Aspects of the fractional stochastic calculus (2005)Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data (2007)Statistical aspects of the fractional stochastic calculus (2007)
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References

  • 1997Processes of normal inverse Gaussian type1,224 cited
  • 1996G.Samorodnitsky,M.S.Taqqu:Stable non-Gaussian Random Processes--Stochastic Models with Infinite Variance559 cited
  • 2006Tempering stable processes545 cited
  • 1999Statistical inference for diffusion type processes307 cited
  • 2001Approximations of small jumps of Lévy processes with a view towards simulation300 cited
  • 2006A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales282 cited
  • 2000Lévy Processes in Finance: Theory, Numerics, and Empirical Facts216 cited
  • 2012Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data176 cited
  • 2003Hyperbolic Processes in Finance146 cited
  • 2006Estimation of Parameters for Diffusion Processes with Jumps from Discrete Observations138 cited
  • 2001Normal Modified Stable Processes128 cited
  • 2013Tempered stable distributions and processes120 cited
  • 1999Processes of Meixner type104 cited
  • 2004Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model95 cited
  • 2011Nonparametric tests for pathwise properties of semimartingales94 cited

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  • 2010On simulation of tempered stable random variates75 cited
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