JOURNAL ARTICLE
Nonparametric estimation for pure jump Lévy processes based on high frequency data
Fabienne ComteValentine Genon‐Catalot
Year: 2009 Journal: Stochastic Processes and their Applications Vol: 119 (12)Pages: 4088-4123 Publisher: Elsevier BV
Keywords:
Estimator Nonparametric statistics Jump Mathematics Interval (graph theory) Upper and lower bounds Infinity Frequency domain Applied mathematics Fourier transform Mathematical optimization Statistics Mathematical analysis Combinatorics Physics
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60
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4.26
FWCI (Field Weighted Citation Impact)
27
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0.94
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Citation History
Topics
Probability and Risk Models
Social Sciences → Decision Sciences → Management Science and Operations Research
Stochastic processes and financial applications
Social Sciences → Economics, Econometrics and Finance → Finance
Financial Risk and Volatility Modeling
Social Sciences → Economics, Econometrics and Finance → Finance
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