Nonparametric estimation for pure jump Lévy processes based on high frequency data
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- Madan, Dilip B & Seneta, Eugene, 1990. "The Variance Gamma (V.G.) Model for Share Market Returns," The Journal of Business, University of Chicago Press, vol. 63(4), pages 511-524, October.
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Cited by:
- 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.
- Chongkai Xie & Honglong You, 2024. "A Threshold Estimator for Ruin Probability Using the Fourier-Cosine Method in the Wiener–Poisson Risk Model," Mathematics, MDPI, vol. 12(18), pages 1-14, September.
- 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.
- Zhang, Zhimin & Yang, Hailiang, 2013. "Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 24-35.
- Wolfgang Karcher & Stefan Roth & Evgeny Spodarev & Corinna Walk, 2019. "An inverse problem for infinitely divisible moving average random fields," Statistical Inference for Stochastic Processes, Springer, vol. 22(2), pages 263-306, July.
- Zhang, Zhimin & Yang, Hailiang, 2014. "Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 168-177.
- Schmisser, Émeline, 2019. "Non parametric estimation of the diffusion coefficients of a diffusion with jumps," Stochastic Processes and their Applications, Elsevier, vol. 129(12), pages 5364-5405.
- 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.
- 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.
- 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.
- Yuan Gao & Honglong You, 2021. "The Speed of Convergence of the Threshold Estimator of Ruin Probability under the Tempered α -Stable Lévy Subordinator," Mathematics, MDPI, vol. 9(21), pages 1-9, October.
- Shimizu, Yasutaka & Zhang, Zhimin, 2017. "Estimating Gerber–Shiu functions from discretely observed Lévy driven surplus," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 84-98.
- Akakpo, Nathalie, 2017. "Multivariate intensity estimation via hyperbolic wavelet selection," Journal of Multivariate Analysis, Elsevier, vol. 161(C), pages 32-57.
- Wen Su & Yunyun Wang, 2021. "Estimating the Gerber-Shiu Function in Lévy Insurance Risk Model by Fourier-Cosine Series Expansion," Mathematics, MDPI, vol. 9(12), pages 1-18, June.
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Keywords
Adaptive nonparametric estimation High frequency data Lévy processes Projection estimators;Statistics
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