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Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >
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http://hdl.handle.net/10419/39339
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| Title: | | Estimation of the characteristics of a Lévy process observed at arbitrary frequency  |
| Authors: | | Kappus, Johanna Reiß, Markus |
| Issue Date: | | 2010 |
| Series/Report no.: | | SFB 649 discussion paper 2010,015 |
| Abstract: | | A Lévy process is observed at time points of distance delta 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 delta. Thereby, we encompass the usual low- and high-frequency assumptions and obtain also asymptotics in the mid-frequency regime. |
| Subjects: | | Lévy process Lévy-Khinchine characteristics Nonparametric estimation Inverse problem Optimal rates of convergence |
| JEL: | | G13 C14 |
| Document Type: | | Working Paper |
| Appears in Collections: | | SFB 649 Discussion Papers, HU Berlin
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