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ArticleTesting the characteristics of a Lévy process

Markus Reiß2013

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Articlebronze2013

Testing the characteristics of a Lévy process

17 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Probability and Statistical Research Financial Risk and Volatility Modeling

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References

2001Diffusions with measurement errors. I. Local Asymptotic Normality 2009Nonparametric estimation for Lévy processes from low-frequency observations 2010Is Brownian motion necessary to model high-frequency data?2007Volatility estimators for discretely sampled Lévy processes 2006Spectral calibration of exponential Lévy models 2003Decompounding: an estimation problem for Poisson random sums 2012The Realized Laplace Transform of Volatility 2009Small-time expansions for the transition distributions of Lévy processes

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2017Efficient nonparametric inference for discretely observed compound Poisson processes 2015High-frequency Donsker theorems for Lévy measures

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2012Nonparametric inference for discretely sampled Lévy processesarticle · 9 shared references 2014High-frequency Donsker theorems for Levy measurespreprint · 9 shared references 2015High-frequency Donsker theorems for Lévy measuresarticle · 9 shared references 2013Density estimation for compound Poisson processes from discrete dataarticle · 6 shared references 2014Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observationarticle · 6 shared references 2013Optimally thresholded realized power variations for Lévy jump diffusion modelsarticle · 5 shared references

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Year2013

Typearticle

Published2013-03-28

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations17

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2013.03.016

openalex_workW1978706035

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