Title of article :
Estimation of the characteristics of a Lévy process
Author/Authors :
Gegler، نويسنده , , Achim and Stadtmüller، نويسنده , , Ulrich، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2010
Pages :
16
From page :
1481
To page :
1496
Abstract :
We consider a Lévy process that is e.g. used in finance to model stock price developments. We want to estimate the characteristics of that process, based on historical data where we assume that we have discrete, high frequency observations. We introduce a threshold estimation method and show consistency and in the case of finite activity asymptotic normality of these estimators.
Keywords :
Asymptotic normal distribution , Consistency , Finite jump activity , high frequency , Infinite jump activity , Stock Price , Threshold estimation
Journal title :
Journal of Statistical Planning and Inference
Serial Year :
2010
Journal title :
Journal of Statistical Planning and Inference
Record number :
2220618
Link To Document :
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