Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5130097 | Stochastic Processes and their Applications | 2017 | 27 Pages |
Abstract
Given an ItÅ semimartingale with a time-homogeneous jump part observed at high frequency, we prove weak convergence of a normalized truncated empirical distribution function of the Lévy measure to a Gaussian process. In contrast to competing procedures, our estimator works for processes with a non-vanishing diffusion component and under simple assumptions on the jump process.
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Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Michael Hoffmann, Mathias Vetter,