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Joint Estimation of Discretely Observed Stable Lévy Processes with Symmetric Lévy Density
3 references·0 citing·18 second hopsampled
Joint Estimation of Discretely Observed Stable Lévy Processes with Symmetric Lévy Density (2009)Joint Estimation of Discretely Observed S…Fisher's Information for Discretely Sampled Lvy Processes (2008)Fisher's Information for Disc…Volatility estimators for discretely sampled Lévy processes (2007)Volatility estimators for dis…Is Network Traffic Appriximated by Stable Lévy Motion or Fractional Brownian Motion? (2002)Is Network Traffic Appriximat…Extreme Values, Regular Variation and Point Processes (1987)Stopped Random Walks (1988)Heavy Tails and Long Range Dependence in On/Off Processes and Associated Fluid Models (1998)SIMULATION METHODS FOR LINEAR FRACTIONAL STABLE MOTION AND FARIMA USING THE FAST FOURIER TRANSFORM (2004)Modeling teletraffic arrivals by a Poisson cluster process (2006)Activity signature functions for high-frequency data analysis (2009)Disentangling the jumps of the diffusion in a geometric jumping Brownian motion (2001)Estimation of affine asset pricing models using the empirical characteristic function (2001)Disentangling diffusion from jumps (2004)On the jump activity index for semimartingales (2011)The econometrics of high-frequency data (2012)Increased Correlation Among Asset Classes: Are Volatility or Jumps to Blame, or Both? (2014)The Behavior of Stock-Market Prices (1965)The variation of certain speculative prices (1997)Modeling and Forecasting Realized Volatility (2003)MCMC ESTIMATION OF LÉVY JUMP MODELS USING STOCK AND OPTION PRICES (2010)Estimating functions for diffusion-type processes (2012)Convergence of Gaussian quasi-likelihood random fields for ergodic Lévy driven SDE observed at high frequency (2013)
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References

  • 2002Is Network Traffic Appriximated by Stable Lévy Motion or Fractional Brownian Motion?270 cited
  • 2007Volatility estimators for discretely sampled Lévy processes104 cited
  • 2008Fisher's Information for Discretely Sampled Lvy Processes72 cited

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