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

Johanna Kappus and Markus Reiß

Statistica Neerlandica, 2010, vol. 64, issue 3, 314-328

Abstract: A Lévy process is observed at time points of distance Δ 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 Δ. Thereby, we encompass the usual low‐ and high‐frequency assumptions and also obtain asymptotics in the mid‐frequency regime.

Date: 2010
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https://doi.org/10.1111/j.1467-9574.2010.00461.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:stanee:v:64:y:2010:i:3:p:314-328

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