Weak convergence of the empirical truncated distribution function of the Lévy measure of an Itō semimartingale
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References listed on IDEAS
- Dilip B. Madan & Peter P. Carr & Eric C. Chang, 1998. "The Variance Gamma Process and Option Pricing," Review of Finance, European Finance Association, vol. 2(1), pages 79-105.
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- Figueroa-López, José E., 2008. "Small-time moment asymptotics for Lévy processes," Statistics & Probability Letters, Elsevier, vol. 78(18), pages 3355-3365, December.
More about this item
KeywordsEmpirical distribution function; High-frequency statistics; Itō semimartingale; Lévy measure; Weak convergence;
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