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Method of moment estimation in time-changed Lévy models

Author

Listed:
  • Kallsen Jan

    (Christian-Albrechts-Universität zu Kiel, Mathematisches Seminar, Kiel, Deutschland)

  • Muhle-Karbe Johannes

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.

Suggested Citation

  • Kallsen Jan & Muhle-Karbe Johannes, 2011. "Method of moment estimation in time-changed Lévy models," Statistics & Risk Modeling, De Gruyter, vol. 28(2), pages 169-194, May.
    • Handle: RePEc:bpj:strimo:v:28:y:2011:i:2:p:169-194:n:5
    DOI: 10.1524/stnd.2011.1076
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    References listed on IDEAS

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