Method of moment estimation in time-changed Lévy models

Kallsen Jan and Muhle-Karbe Johannes
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Kallsen Jan: Christian-Albrechts-Universität zu Kiel, Mathematisches Seminar, Kiel, Deutschland

Statistics & Risk Modeling, 2011, vol. 28, issue 2, 169-194

Abstract: This paper introduces a method of moment estimator for the time-changed Lévy processes proposed by Carr, Geman, Madan and Yor (2003). By establishing that the returns sequence is strongly mixing with exponentially decreasing rate, we prove consistency and asymptotic normality of the resulting estimators. In addition, we fit parametrized versions of the model to real data and examine the quality of our estimators by performing a simulation study. Finally, we also show how to estimate the current level of volatility.

Keywords: time-changed Lévy models; moment estimator; mixing property; volatility estimation (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:bpj:strimo:v:28:y:2011:i:2:p:169-194:n:5

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DOI: 10.1524/stnd.2011.1076

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