Estimation of the characteristics of a Lévy process observed at arbitrary frequency

Johanna Kappus and Markus Reiss

No 2010-015, SFB 649 Discussion Papers from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

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.

Keywords: Lévy process; Lévy-Khinchine characteristics; Nonparametric estimation; Inverse problem; Optimal rates of convergence (search for similar items in EconPapers)
JEL-codes: C14 G13 (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (2)

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Related works:
Working Paper: Estimation of the characteristics of a Lévy process observed at arbitrary frequency (2011)
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