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Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Kappus, Johanna | en |
dc.contributor.author | Reiß, Markus | en |
dc.date.accessioned | 2010-04-16 | - |
dc.date.accessioned | 2010-08-26T11:57:38Z | - |
dc.date.available | 2010-08-26T11:57:38Z | - |
dc.date.issued | 2010 | - |
dc.identifier.uri | http://hdl.handle.net/10419/39339 | - |
dc.description.abstract | 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. | en |
dc.language.iso | eng | en |
dc.publisher | |aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlin | en |
dc.relation.ispartofseries | |aSFB 649 Discussion Paper |x2010,015 | en |
dc.subject.jel | G13 | en |
dc.subject.jel | C14 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Lévy process | en |
dc.subject.keyword | Lévy-Khinchine characteristics | en |
dc.subject.keyword | Nonparametric estimation | en |
dc.subject.keyword | Inverse problem | en |
dc.subject.keyword | Optimal rates of convergence | en |
dc.subject.stw | Stochastischer Prozess | en |
dc.subject.stw | Schätztheorie | en |
dc.subject.stw | Nichtparametrisches Verfahren | en |
dc.subject.stw | Zeitreihenanalyse | en |
dc.title | Estimation of the characteristics of a Lévy process observed at arbitrary frequency | - |
dc.type | |aWorking Paper | en |
dc.identifier.ppn | 623848023 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
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