Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Hoffmann, Michael | - |
dc.contributor.author | Vetter, Mathias | - |
dc.date.accessioned | 2015-06-29T12:35:08Z | - |
dc.date.available | 2015-06-29T12:35:08Z | - |
dc.date.issued | 2015 | - |
dc.identifier.uri | http://hdl.handle.net/2003/34129 | - |
dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-7604 | - |
dc.description.abstract | Given an Ito semimartingale with a time-homogeneous jump part observed at high frequency, we prove weak convergence of a normalized truncated empirical distribution function of the Levy measure to a Gaussian process. In contrast to competing procedures, our estimator works for processes with a non-vanishing diffusion component and under simple assumptions on the jump process. | en |
dc.language.iso | en | de |
dc.relation.ispartofseries | Discussion Paper / SFB 823;18/2015 | en |
dc.subject | empirical distribution function | en |
dc.subject | weak convergence | en |
dc.subject | Lévy measure | en |
dc.subject | Ito semimartingale | en |
dc.subject | high-frequency statistics | en |
dc.subject.ddc | 310 | - |
dc.subject.ddc | 330 | - |
dc.subject.ddc | 620 | - |
dc.title | Weak convergence of the empirical truncated distribution function of the Lévy measure of an Itos semimartingale | en |
dc.type | Text | de |
dc.type.publicationtype | workingPaper | de |
dcterms.accessRights | open access | - |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
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DP_1815_SFB823_Hoffmann_Vetter.pdf | DNB | 398.46 kB | Adobe PDF | View/Open |
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