Threshold Estimation for a Spectrally Negative Lévy Process

Honglong You and Chuncun Yin

Mathematical Problems in Engineering, 2020, vol. 2020, 1-12

Abstract:

Consider a spectrally negative Lévy process with unknown diffusion coefficient and Lévy measure and suppose that the high frequency trading data is given. We use the techniques of threshold estimation and regularized Laplace inversion to obtain the estimator of survival probability for a spectrally negative Lévy process. The asymptotic properties are given for the proposed estimator. Simulation studies are also given to show the finite sample performance of our estimator.

Date: 2020
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://downloads.hindawi.com/journals/MPE/2020/3561089.pdf (application/pdf)
http://downloads.hindawi.com/journals/MPE/2020/3561089.xml (text/xml)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:3561089

DOI: 10.1155/2020/3561089

Access Statistics for this article

More articles in Mathematical Problems in Engineering from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().