A Donsker theorem for Lévy measures
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Belomestny, Denis, 2011. "Spectral estimation of the Lévy density in partially observed affine models," Stochastic Processes and their Applications, Elsevier, vol. 121(6), pages 1217-1244, June.
- Belomestny, Denis & Reiß, Markus, 2006. "Spectral calibration of exponential Lévy Models [1]," SFB 649 Discussion Papers 2006-034, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Denis Belomestny & Markus Reiß, 2006.
"Spectral calibration of exponential Lévy models,"
Finance and Stochastics, Springer, vol. 10(4), pages 449-474, December.
- Denis Belomestny & Markus Reiß, 2006. "Spectral calibration of exponential Lévy Models [2]," SFB 649 Discussion Papers SFB649DP2006-035, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Denis Belomestny & Markus Reiß, 2006. "Spectral calibration of exponential Lévy Models [1]," SFB 649 Discussion Papers SFB649DP2006-034, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Belomestny, Denis & Reiß, Markus, 2006. "Spectral calibration of exponential Lévy Models [1]," SFB 649 Discussion Papers 2006-034, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Belomestny, Denis & Reiß, Markus, 2006. "Spectral calibration of exponential Lévy Models [2]," SFB 649 Discussion Papers 2006-035, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Shota Gugushvili, 2009. "Nonparametric estimation of the characteristic triplet of a discretely observed Lévy process," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 21(3), pages 321-343.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Reiß, Markus, 2013. "Testing the characteristics of a Lévy process," Stochastic Processes and their Applications, Elsevier, vol. 123(7), pages 2808-2828.
- Shota Gugushvili & Frank Meulen & Peter Spreij, 2018. "A non-parametric Bayesian approach to decompounding from high frequency data," Statistical Inference for Stochastic Processes, Springer, vol. 21(1), pages 53-79, April.
- Trabs, Mathias, 2014. "On infinitely divisible distributions with polynomially decaying characteristic functions," Statistics & Probability Letters, Elsevier, vol. 94(C), pages 56-62.
- Kato, Kengo & Kurisu, Daisuke, 2020. "Bootstrap confidence bands for spectral estimation of Lévy densities under high-frequency observations," Stochastic Processes and their Applications, Elsevier, vol. 130(3), pages 1159-1205.
- Vetter, Mathias, 2014. "Inference on the Lévy measure in case of noisy observations," Statistics & Probability Letters, Elsevier, vol. 87(C), pages 125-133.
- Trabs, Mathias, 2015. "Quantile estimation for Lévy measures," Stochastic Processes and their Applications, Elsevier, vol. 125(9), pages 3484-3521.
- Hoffmann, Michael & Vetter, Mathias, 2017. "Weak convergence of the empirical truncated distribution function of the Lévy measure of an Itō semimartingale," Stochastic Processes and their Applications, Elsevier, vol. 127(5), pages 1517-1543.
- Koltchinskii, Vladimir & Nickl, Richard & van de Geer, Sara & Wellner, Jon A., 2016. "The mathematical work of Evarist Giné," Stochastic Processes and their Applications, Elsevier, vol. 126(12), pages 3607-3622.
- Mélina Bec & Claire Lacour, 2015. "Adaptive pointwise estimation for pure jump Lévy processes," Statistical Inference for Stochastic Processes, Springer, vol. 18(3), pages 229-256, October.
- Shota Gugushvili & Ester Mariucci & Frank van der Meulen, 2020. "Decompounding discrete distributions: A nonparametric Bayesian approach," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 47(2), pages 464-492, June.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Reiß, Markus, 2013. "Testing the characteristics of a Lévy process," Stochastic Processes and their Applications, Elsevier, vol. 123(7), pages 2808-2828.
- repec:hum:wpaper:sfb649dp2012-003 is not listed on IDEAS
- repec:hum:wpaper:sfb649dp2012-016 is not listed on IDEAS
- Mark Anthony Caruana, 2017. "Estimation of Lévy Processes via Stochastic Programming and Kalman Filtering," Methodology and Computing in Applied Probability, Springer, vol. 19(4), pages 1211-1225, December.
- Kappus, Johanna, 2012. "Nonparametric adaptive estimation of linear functionals for low frequency observed Lévy processes," SFB 649 Discussion Papers 2012-016, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Johanna Kappus & Markus Reiß, 2010. "Estimation of the characteristics of a Lévy process observed at arbitrary frequency," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 64(s1), pages 314-328.
- Söhl, Jakob, 2010. "Polar sets for anisotropic Gaussian random fields," Statistics & Probability Letters, Elsevier, vol. 80(9-10), pages 840-847, May.
- Kappus, Johanna, 2014. "Adaptive nonparametric estimation for Lévy processes observed at low frequency," Stochastic Processes and their Applications, Elsevier, vol. 124(1), pages 730-758.
- Jakob Sohl, 2012. "Confidence sets in nonparametric calibration of exponential L\'evy models," Papers 1202.6611, arXiv.org, revised Sep 2013.
- Rama Cont & Peter Tankov, 2009.
"Constant Proportion Portfolio Insurance In The Presence Of Jumps In Asset Prices,"
Mathematical Finance, Wiley Blackwell, vol. 19(3), pages 379-401, July.
- Rama Cont & Peter Tankov, 2007. "Constant Proportion Portfolio Insurance in presence of Jumps in Asset Prices," Working Papers hal-00129413, HAL.
- Rama Cont & Peter Tankov, 2009. "Constant proportion portfolio insurance in presence of jumps in asset prices," Post-Print hal-00445646, HAL.
- repec:hum:wpaper:sfb649dp2012-012 is not listed on IDEAS
- Todorov, Viktor, 2022. "Nonparametric jump variation measures from options," Journal of Econometrics, Elsevier, vol. 230(2), pages 255-280.
- repec:hum:wpaper:sfb649dp2012-017 is not listed on IDEAS
- 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.
- Trabs, Mathias, 2011. "Calibration of self-decomposable Lévy models," SFB 649 Discussion Papers 2011-073, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Denis Belomestny & John Schoenmakers, 2010.
"A jump-diffusion Libor model and its robust calibration,"
Quantitative Finance, Taylor & Francis Journals, vol. 11(4), pages 529-546.
- Denis Belomestny & John Schoenmakers, 2006. "A jump-diffusion Libor model and its robust calibration," SFB 649 Discussion Papers SFB649DP2006-037, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Belomestny, Denis & Schoenmakers, John G. M., 2006. "A jump-diffusion Libor model and its robust calibration," SFB 649 Discussion Papers 2006-037, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Belomestny Denis & Mathew Stanley & Schoenmakers John, 2009. "Multiple stochastic volatility extension of the Libor market model and its implementation," Monte Carlo Methods and Applications, De Gruyter, vol. 15(4), pages 285-310, January.
- Kato, Kengo & Kurisu, Daisuke, 2020. "Bootstrap confidence bands for spectral estimation of Lévy densities under high-frequency observations," Stochastic Processes and their Applications, Elsevier, vol. 130(3), pages 1159-1205.
- Trabs, Mathias, 2015. "Quantile estimation for Lévy measures," Stochastic Processes and their Applications, Elsevier, vol. 125(9), pages 3484-3521.
- Song, Seongjoo, 2010. "Lévy density estimation via information projection onto wavelet subspaces," Statistics & Probability Letters, Elsevier, vol. 80(21-22), pages 1623-1632, November.
- Fusai, Gianluca & Meucci, Attilio, 2008. "Pricing discretely monitored Asian options under Levy processes," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2076-2088, October.
- Jakob Söhl, 2014. "Confidence sets in nonparametric calibration of exponential Lévy models," Finance and Stochastics, Springer, vol. 18(3), pages 617-649, July.
- repec:hum:wpaper:sfb649dp2009-021 is not listed on IDEAS
- Jan Kallsen & Paul Kruhner, 2013. "On a Heath-Jarrow-Morton approach for stock options," Papers 1305.5621, arXiv.org, revised Aug 2013.
- Trabs, Mathias, 2014. "On infinitely divisible distributions with polynomially decaying characteristic functions," Statistics & Probability Letters, Elsevier, vol. 94(C), pages 56-62.
More about this item
Keywords
uniform central limit theorem; nonlinear inverse problem; smoothed empirical processes; pseudo-differential operators; jump measure;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2012-01-18 (Econometrics)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:sfb649:sfb649dp2012-003. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ZBW - Leibniz Information Centre for Economics (email available below). General contact details of provider: https://edirc.repec.org/data/sohubde.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.