|Title:||Weak convergence of the empirical truncated distribution function of the Lévy measure of an Itos semimartingale|
|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|
|Appears in Collections:||Sonderforschungsbereich (SFB) 823|
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|DP_1815_SFB823_Hoffmann_Vetter.pdf||DNB||398.46 kB||Adobe PDF||View/Open|
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