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Local asymptotic normality for normal inverse Gaussian Lévy processes with high-frequency sampling

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References

1997Processes of normal inverse Gaussian type1,224 cited
1999The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures369 cited
2001Approximations of small jumps of Lévy processes with a view towards simulation300 cited
2000Lévy Processes in Finance: Theory, Numerics, and Empirical Facts216 cited
2008Fisher's Information for Discretely Sampled Lvy Processes72 cited

Cited by

2018Local asymptotic normality property for fractional Gaussian noise under high-frequency observations34 cited
2016LAN property for an ergodic diffusion with jumps28 cited
2015Local Asymptotic Mixed Normality property for discretely observed stochastic differential equations driven by stable Lévy processes26 cited
2014Parametric Estimation of Lévy Processes22 cited

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