The estimation for Lévy processes in high frequency data

Jing Zheng, Wentao Gu, Baolin Xu and Zongwu Cai

Econometric Reviews, 2018, vol. 37, issue 10, 1051-1066

Abstract: In this article, a generalized Lévy model is proposed and its parameters are estimated in high-frequency data settings. An infinitesimal generator of Lévy processes is used to study the asymptotic properties of the drift and volatility estimators. They are consistent asymptotically and are independent of other parameters making them better than those in Chen et al. (2010). The estimators proposed here also have fast convergence rates and are simple to implement.

Date: 2018
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DOI: 10.1080/07474938.2016.1188876

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