Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/39339
Authors: 
Kappus, Johanna
Reiß, Markus
Year of Publication: 
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

Files in This Item:
File
Size
314.79 kB





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