Authors: Hoffmann, Michael
Vetter, Mathias
Title: Weak convergence of the empirical truncated distribution function of the Lévy measure of an Itos semimartingale
Language (ISO): en
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.
Subject Headings: empirical distribution function
weak convergence
Lévy measure
Ito semimartingale
high-frequency statistics
Issue Date: 2015
Appears in Collections:Sonderforschungsbereich (SFB) 823

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