Spectral estimation of the fractional order of a Lévy process
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"Spectral calibration of exponential Lévy models,"
Finance and Stochastics, Springer, vol. 10(4), pages 449-474, December.
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- Söhl, Jakob, 2012. "Confidence sets in nonparametric calibration of exponential Lévy models," SFB 649 Discussion Papers 2012-012, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Reiß, Markus, 2013. "Testing the characteristics of a Lévy process," Stochastic Processes and their Applications, Elsevier, vol. 123(7), pages 2808-2828.
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More about this item
Keywords
regular Lévy processes; Blumenthal-Getoor index; semiparametric estimation;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2009-04-25 (Econometrics)
- NEP-ETS-2009-04-25 (Econometric Time Series)
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