ESTIMATING THE SKEWNESS IN DISCRETELY OBSERVED L VY PROCESSES

Jeannette H.C. Woerner

Econometric Theory, 2004, vol. 20, issue 05, pages 927-942

Abstract: We consider models for financial data by L vy processes, including hyperbolic, normal inverse Gaussian, and Carr, Geman, Madan, and Yor (CGMY) processes. They are given by their L vy triplet ( ( ), 2,e xg(x) (dx)), where denotes the drift, 2 the diffusion, and e xg(x) (dx) the L vy measure, and the unknown parameter models the skewness of the process. We provide local asymptotic normality results and construct efficient estimators for the skewness parameter taking into account different discrete sampling schemes.I thank Prof. Dr. L. R schendorf for his steady encouragement, the referees for helpful comments, and the German National Scholarship Foundation for financial support.

Date: 2004
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