Weak convergence of the empirical truncated distribution function of the Lévy measure of an Itō semimartingale

Michael Hoffmann and Mathias Vetter

Stochastic Processes and their Applications, 2017, vol. 127, issue 5, 1517-1543

Abstract: Given an Itō 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.

Keywords: Empirical distribution function; High-frequency statistics; Itō semimartingale; Lévy measure; Weak convergence (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:127:y:2017:i:5:p:1517-1543

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DOI: 10.1016/j.spa.2016.08.009

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