Power variation of some integral fractional processes (2006)
Manuel Corcuera, José, Nualart, David, Woerner, Jeannette H. C.
We consider the asymptotic behaviour of the realized power variation of processes of the form . We establish the stable convergence of the corresponding fluctuations. These results provide new...
Expansion of transition distributions of Lévy processes in small time (2002)
Rüschendorf, Ludger, Woerner, Jeannette H. C.
We establish for small time t a series expansion of the transition density and the transition distribution function of Lévy processes in terms of the density and the spectral function of the Lévy...
Statistical analysis for discretely observed Lévy processes (2001)
We consider Lévy processes X_t given by the Lévy triplet (mu(theta),sigma^2(theta),nu_theta(dx)), where mu(theta) denotes the drift, sigma^2(theta) the diffusion part, nu_theta(dx) the Lévy...
Statistical analysis for discretely observed Lévy processes [Elektronische Ressource] / (2001)
Freiburg (Breisgau), University, Diss., 2001.
ESTIMATING THE SKEWNESS IN DISCRETELY OBSERVED L VY PROCESSES
We consider models for financial data by L vy processes, including hyperbolic, normal inverse Gaussian, and Carr, Geman, Madan, and Yor (CGMY) processes. They are given by their L vy triplet ( ( ),...