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Nonparametric inference of discretely sampled stable Lévy processes · Study

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ArticleNonparametric inference of discretely sampled stable Lévy processes

Zhibiao Zhao2009

Article2009

Nonparametric inference of discretely sampled stable Lévy processes

Zhibiao Zhao · Wei Biao Wu

22 citations·0/0 files stored·Journal of Econometrics

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

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References

1973The Pricing of Options and Corporate Liabilities 1965The Behavior of Stock-Market Prices 1963The Variation of Certain Speculative Prices 1997The variation of certain speculative prices 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data 2005A Tale of Two Time Scales 1997A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk 2001Lévy processes : theory and applications

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2017A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation

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Year2009

Typearticle

Published2009-05-14

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations22

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jeconom.2009.04.007

openalex_workW2091937665

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