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 |
URI: | http://hdl.handle.net/2003/34129 http://dx.doi.org/10.17877/DE290R-7604 |
Issue Date: | 2015 |
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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