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Statistical inference for time-changed Lévy processes via composite characteristic function estimation
16 references·3 citing·42 second hop
Statistical inference for time-changed Lévy processes via composite characteristic function estimation (2011)Statistical inference for time-changed Lé…Nonparametric adaptive estimation for pure jump Lévy processes (2010)Nonparametric adaptive estima…Spectral estimation of the fractional order of a Lévy process (2009)Spectral estimation of the fr…Nonparametric estimation for Lévy processes from low-frequency observations (2009)Nonparametric estimation for …Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions (2009)Multivariate Archimedean copu…Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions (2009)Multivariate Archimedean copu…Variational sums and power variation: a unifying approach to model selection and estimation in semimartingale models (2003)Variational sums and power va…Time-changed Lévy processes and option pricing (2003)Time-changed Lévy processes a…Stochastic Volatility for Lévy Processes (2003)Stochastic Volatility for Lév…Application of Generalized Hyperbolic Lévy Motions to Finance (2001)Application of Generalized Hy…Processes of normal inverse Gaussian type (1997)Processes of normal inverse G…Density in small time for Lévy processes (1997)Density in small time for Lév…Calcul des variations stochastique et processus de sauts (1983)Calcul des variations stochas…Processes that can be Embedded in Brownian Motion (1978)Processes that can be Embedde…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…ON CONTINUOUS MARTINGALES (1965)ON CONTINUOUS MARTINGALESEstimating the Parameters of a Differential Process (1959)Estimating the Parameters of …Estimating Gerber–Shiu functions from discretely observed Lévy driven surplus (2017)Estimating Gerber–Shiu functi…Calibration of self-decomposable Lévy models (2014)Calibration of self-decomposa…Realized Laplace transforms for pure-jump semimartingales (2012)Realized Laplace transforms f…The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)The Finite Moment Log Stable Process and Option Pricing (2003)Stochastic volatility with leverage: Fast and efficient likelihood inference (2006)The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well (2009)Calcul Stochastique et Problèmes de Martingales (1979)Stochastic Differential Equations and Diffusion Processes (1981)Stochastic Differential Equations and Diffusion Processes (1983)Differential Calculus and Integration by Parts on Poisson Space (1990)Malliavin Monte Carlo Greeks for jump diffusions (2005)Malliavin calculus on the Wiener–Poisson space and its application to canonical SDE with jumps (2006)Statistical Inference Procedures for Bivariate Archimedean Copulas (1993)Understanding Relationships Using Copulas (1998)An Introduction to Copulas (1999)Extreme-Value Copulas (2010)Asymptotics of empirical copula processes under non-restrictive smoothness assumptions (2012)A multivariate copula‐based framework for dealing with hazard scenarios and failure probabilities (2016)Estimating quadratic variation using realized variance (2002)Stochastic Integration and Differential Equations (2005)The Analysis of Economic Time-Series-Part I: Prices (1953)An Intertemporal Capital Asset Pricing Model (1973)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The variation of certain speculative prices (1997)A Theory of the Term Structure of Interest Rates (1985)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Lévy Processes in Finance: Theory, Numerics, and Empirical Facts (2000)A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour (2004)Characterization of dependence of multidimensional Lévy processes using Lévy copulas (2006)Brownian Motion and Stochastic Calculus (2007)Copula Methods in Finance (2004)Construction of asymmetric multivariate copulas (2008)Models for construction of multivariate dependence – a comparison study (2008)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Tails, Fears, and Risk Premia (2011)Pure jump Lévy processes for asset price modelling (2002)The Skorokhod embedding problem and its offspring (2004)Pricing options on realized variance (2005)On an Identity for Stochastic Integrals (1973)ANOVA for diffusions and Itô processes (2006)
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References

  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 1997Processes of normal inverse Gaussian type1,224 cited
  • 2003Stochastic Volatility for Lévy Processes871 cited
  • 2003Time-changed Lévy processes and option pricing674 cited
  • 2009Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions598 cited
  • 2009Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions510 cited
  • 2001Application of Generalized Hyperbolic Lévy Motions to Finance238 cited
  • 1965ON CONTINUOUS MARTINGALES175 cited
  • 1978Processes that can be Embedded in Brownian Motion161 cited
  • 1983Calcul des variations stochastique et processus de sauts138 cited
  • 2009Nonparametric estimation for Lévy processes from low-frequency observations121 cited
  • 2003Variational sums and power variation: a unifying approach to model selection and estimation in semimartingale models73 cited
  • 2010Nonparametric adaptive estimation for pure jump Lévy processes57 cited
  • 2009Spectral estimation of the fractional order of a Lévy process50 cited
  • 1997Density in small time for Lévy processes

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44 cited
  • 1959Estimating the Parameters of a Differential Process41 cited
  • Cited by

    • 2017Estimating Gerber–Shiu functions from discretely observed Lévy driven surplus33 cited
    • 2012Realized Laplace transforms for pure-jump semimartingales31 cited
    • 2014Calibration of self-decomposable Lévy models26 cited