Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/39339 
Full metadata record
DC FieldValueLanguage
dc.contributor.authorKappus, Johannaen
dc.contributor.authorReiß, Markusen
dc.date.accessioned2010-04-16-
dc.date.accessioned2010-08-26T11:57:38Z-
dc.date.available2010-08-26T11:57:38Z-
dc.date.issued2010-
dc.identifier.urihttp://hdl.handle.net/10419/39339-
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
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2010,015en
dc.subject.jelG13en
dc.subject.jelC14en
dc.subject.ddc330en
dc.subject.keywordLévy processen
dc.subject.keywordLévy-Khinchine characteristicsen
dc.subject.keywordNonparametric estimationen
dc.subject.keywordInverse problemen
dc.subject.keywordOptimal rates of convergenceen
dc.subject.stwStochastischer Prozessen
dc.subject.stwSchätztheorieen
dc.subject.stwNichtparametrisches Verfahrenen
dc.subject.stwZeitreihenanalyseen
dc.titleEstimation of the characteristics of a Lévy process observed at arbitrary frequency-
dc.type|aWorking Paperen
dc.identifier.ppn623848023en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

Files in This Item:
File
Size
314.79 kB





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