2011-05-30Buch DOI: 10.18452/4317
Estimation of the characteristics of a Lévy process observed at arbitrary frequency
A Lévy process is observed at time points of distance Δ until time T. We construct an estimator of the Lévy-Khinchine characteristics of the process and derive optimal rates of convergence simultaneously in T and Δ. Thereby, we encompass the usual low- and high-frequency assumptions and obtain also asymptotics in the mid-frequency regime.
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Is Part Of Series: Sonderforschungsbereich 649: Ökonomisches Risiko - 27, SFB 649 Papers, ISSN:1860-5664