Efficient estimation of stable Lévy process with symmetric jumps
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DOI: 10.1007/s11203-018-9181-0
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References listed on IDEAS
- Todorov, Viktor, 2013. "Power variation from second order differences for pure jump semimartingales," Stochastic Processes and their Applications, Elsevier, vol. 123(7), pages 2829-2850.
- Yacine Aït-Sahalia & Jean Jacod, 2008. "Fisher's Information for Discretely Sampled Lévy Processes," Econometrica, Econometric Society, vol. 76(4), pages 727-761, July.
- Hiroki Masuda, 2010. "On Statistical Aspects in Calibrating a Geometric Skewed Stable Asset Price Model," World Scientific Book Chapters, in: Masaaki Kijima & Chiaki Hara & Keiichi Tanaka & Yukio Muromachi (ed.), Recent Advances In Financial Engineering 2009, chapter 7, pages 181-202, World Scientific Publishing Co. Pte. Ltd..
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