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Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/39339
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Kappus, Johanna | | en_US |
| dc.contributor.author | | Reiß, Markus | | en_US |
| dc.date.accessioned | | 2010-04-16 | | en_US |
| dc.date.accessioned | | 2010-08-26T11:57:38Z | | - |
| dc.date.available | | 2010-08-26T11:57:38Z | | - |
| dc.date.issued | | 2010 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/39339 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | SFB 649, Economic Risk Berlin | | en_US |
| dc.relation.ispartofseries | | SFB 649 discussion paper 2010,015 | | en_US |
| dc.subject.jel | | G13 | | en_US |
| dc.subject.jel | | C14 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Lévy process | | en_US |
| dc.subject.keyword | | Lévy-Khinchine characteristics | | en_US |
| dc.subject.keyword | | Nonparametric estimation | | en_US |
| dc.subject.keyword | | Inverse problem | | en_US |
| dc.subject.keyword | | Optimal rates of convergence | | en_US |
| dc.subject.stw | | Stochastischer Prozess | | en_US |
| dc.subject.stw | | Schätztheorie | | en_US |
| dc.subject.stw | | Nichtparametrisches Verfahren | | en_US |
| dc.subject.stw | | Zeitreihenanalyse | | en_US |
| dc.title | | Estimation of the characteristics of a Lévy process observed at arbitrary frequency | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 623848023 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | SFB 649 Discussion Papers, HU Berlin
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