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Estimation of the characteristics of a Lévy process observed at arbitrary frequency

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  • Kappus, Johanna
  • Reiß, Markus

Abstract

A Lévy process is observed at time points of distance delta until time T. We construct an estimator of the Lévy-Khinchine characteristics of the process and derive optimal rates of convergence simultaneously in T and delta. Thereby, we encompass the usual low- and high-frequency assumptions and obtain also asymptotics in the mid-frequency regime.

Suggested Citation

  • Kappus, Johanna & Reiß, Markus, 2010. "Estimation of the characteristics of a Lévy process observed at arbitrary frequency," SFB 649 Discussion Papers 2010-015, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    • Handle: RePEc:zbw:sfb649:sfb649dp2010-015
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    More about this item

    Keywords

    Lévy process; Lévy-Khinchine characteristics; Nonparametric estimation; Inverse problem; Optimal rates of convergence;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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