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Nonparametric estimation for pure jump Lévy processes based on high frequency data · Study

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ArticleNonparametric estimation for pure jump Lévy processes based on high frequency data

Fabienne Comte2009

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Articlebronze2009

Nonparametric estimation for pure jump Lévy processes based on high frequency data

Fabienne Comte · Valentine Genon‐Catalot

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

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Stochastic processes and financial applications Probability and Statistical Research Statistical Methods and Inference

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References

1990The Variance Gamma (V.G.) Model for Share Market Returns 2001Modelling by Lévy Processes for Financial Econometrics 2007Bilateral gamma distributions and processes in financial mathematics 2009Nonparametric estimation for Lévy processes from low-frequency observations

Cited by

2011Estimation for Levy processes from high frequency data within a long time interval 2011Estimation for Lévy processes from high frequency data within a long time interval 2010Estimation of the characteristics of a Lévy process observed at arbitrary frequency 2013Density estimation for compound Poisson processes from discrete data 2018Estimating the Gerber–Shiu function in a Lévy risk model by Laguerre series expansion 2013Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model 2017Estimating Gerber–Shiu functions from discretely observed Lévy driven surplus 2012Nonparametric inference for discretely sampled Lévy processes

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

2010Nonparametric adaptive estimation for pure jump Lévy processesarticle · 4 shared references 2011Estimation for Levy processes from high frequency data within a long time intervalarticle · 4 shared references 2011Estimation for Lévy processes from high frequency data within a long time intervalarticle · 4 shared references 2003Hyperbolic Processes in Financechapter · 2 shared references 2002Semi-parametric modelling in finance: theoretical foundationsarticle · 2 shared references 2013Tempered stable distributions and processesarticle · 2 shared references

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Year2009

Typearticle

Published2009-10-02

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations62

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2009.09.013

openalex_workW2067801276

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