EconStor >
Humboldt-Universität zu Berlin >
Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >

Please use this identifier to cite or link to this item:

Full metadata record

DC FieldValueLanguage
dc.contributor.authorKappus, Johannaen_US
dc.contributor.authorReiß, Markusen_US
dc.description.abstractA 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.publisherSFB 649, Economic Risk Berlinen_US
dc.relation.ispartofseriesSFB 649 discussion paper 2010,015en_US
dc.subject.keywordLévy processen_US
dc.subject.keywordLévy-Khinchine characteristicsen_US
dc.subject.keywordNonparametric estimationen_US
dc.subject.keywordInverse problemen_US
dc.subject.keywordOptimal rates of convergenceen_US
dc.subject.stwStochastischer Prozessen_US
dc.subject.stwNichtparametrisches Verfahrenen_US
dc.titleEstimation of the characteristics of a Lévy process observed at arbitrary frequencyen_US
dc.typeWorking Paperen_US
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

Files in This Item:
File Description SizeFormat
623848023.pdf314.79 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.