Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/39339 
Year of Publication: 
2010
Series/Report no.: 
SFB 649 Discussion Paper No. 2010,015
Publisher: 
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, Berlin
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

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