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Nonparametric adaptive estimation for pure jump Lévy processes

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References

2003Financial Modelling with Jump Processes3,217 cited
1990The Variance Gamma (V.G.) Model for Share Market Returns1,470 cited
1995Hyperbolic Distributions in Finance959 cited
2001Modelling by Lévy Processes for Financial Econometrics196 cited
2007Bilateral gamma distributions and processes in financial mathematics169 cited
2009Nonparametric estimation for Lévy processes from low-frequency observations121 cited

Cited by

2011Estimation for Levy processes from high frequency data within a long time interval48 cited
2011Estimation for Lévy processes from high frequency data within a long time interval45 cited
2010Estimation of the characteristics of a Lévy process observed at arbitrary frequency44 cited
2009Nonparametric estimation of the characteristic triplet of a discretely observed Lévy process43 cited
2011Statistical inference for time-changed Lévy processes via composite characteristic function estimation37 cited
2013Density estimation for compound Poisson processes from discrete data35 cited
2017Estimating Gerber–Shiu functions from discretely observed Lévy driven surplus33 cited
2012Nonparametric inference for discretely sampled Lévy processes29 cited

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