| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1150343 | Journal of Statistical Planning and Inference | 2010 | 16 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Achim Gegler, Ulrich Stadtmüller,