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

  • Johanna Kappus
  • Markus Reiß

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.

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File URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2010-015.pdf
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Paper provided by Sonderforschungsbereich 649, Humboldt University, Berlin, Germany in its series SFB 649 Discussion Papers with number SFB649DP2010-015.

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Length: 18 pages
Date of creation: Feb 2010
Date of revision:
Handle: RePEc:hum:wpaper:sfb649dp2010-015
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  1. Xiaoliang Liu & Wei Xu & Martin Odening, 2011. "Can crop yield risk be globally diversified?," SFB 649 Discussion Papers SFB649DP2011-018, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  2. Wolfgang Karl Härdle & Maria Osipenko, 2011. "Spatial Risk Premium on Weather Derivatives and Hedging Weather Exposure in Electricity," SFB 649 Discussion Papers SFB649DP2011-013, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  3. Rong Liu & Lijian Yang & Wolfgang K. Härdle, 2013. "Oracally Efficient Two-Step Estimation of Generalized Additive Model," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 108(502), pages 619-631, June.
  4. Juliane Scheffel, 2011. "How do Unusual Working Schedules Affect Social Life?," SFB 649 Discussion Papers SFB649DP2011-025, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  5. Beresford, Alastair R. & Kübler, Dorothea & Preibusch, Sören, 2012. "Unwillingness to pay for privacy: A field experiment," Economics Letters, Elsevier, vol. 117(1), pages 25-27.
  6. Wolfgang Karl Härdle & Brenda López Cabrera & Ostap Okhrin & Weining Wang, 2011. "Localising temperature risk," SFB 649 Discussion Papers SFB649DP2011-001, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  7. Johanna Kappus & Markus Reiß, 2010. "Estimation of the characteristics of a Lévy process observed at arbitrary frequency," SFB 649 Discussion Papers SFB649DP2010-015, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  8. Fehr, Dietmar & Schmid, Julia, 2014. "Exclusion in the all-pay auction: An experimental investigation," Discussion Papers, Research Unit: Market Behavior SP II 2014-206, .
  9. Alexander Meyer-Gohde, 2011. "Sticky Information and Determinacy," SFB 649 Discussion Papers SFB649DP2011-006, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  10. Mechtenberg, Lydia & Münster, Johannes, 2010. "A strategic mediator who is biased into the same direction as the expert can improve information transmission," Discussion Papers, Research Unit: Market Behavior SP II 2010-19, .
  11. Till Strohsal & Enzo Weber, 2011. "Mean-Variance Cointegration and the Expectations Hypothesis," SFB 649 Discussion Papers SFB649DP2011-007, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  12. Shuzhuan Zheng & Lijian Yang & Wolfgang Karl Härdle, 2011. "A Confidence Corridor for Sparse Longitudinal Data Curves," SFB 649 Discussion Papers SFB649DP2011-002, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  13. Esra Akdeniz Duran & Wolfgang Karl Härdle & Maria Osipenko, 2011. "Difference based Ridge and Liu type Estimators in Semiparametric Regression Models," SFB 649 Discussion Papers SFB649DP2011-014, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  14. Juliane Scheffel, 2011. "Identifying the Effect of Temporal Work Flexibility on Parental Time with Children," SFB 649 Discussion Papers SFB649DP2011-024, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  15. Lu Lin & Feng Li & Lixing Zhu & Wolfgang Karl Härdle, 2011. "Mean Volatility Regressions," SFB 649 Discussion Papers SFB649DP2011-003, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  16. Wolfgang Karl Härdle & Vladimir Spokoiny & Weining Wang, 2011. "Local Quantile Regression," SFB 649 Discussion Papers SFB649DP2011-005, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  17. Esra Akdeniz Duran & Mengmeng Guo & Wolfgang Karl Härdle, 2011. "A Confidence Corridor for Expectile Functions," SFB 649 Discussion Papers SFB649DP2011-004, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  18. Dirk Hofmann & Salmai Qari, 2011. "The Law of Attraction: Bilateral Search and Horizontal Heterogeneity," SFB 649 Discussion Papers SFB649DP2011-017, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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