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dc.contributor.authorHoffmann, Michael-
dc.contributor.authorVetter, Mathias-
dc.date.accessioned2015-06-29T12:35:08Z-
dc.date.available2015-06-29T12:35:08Z-
dc.date.issued2015-
dc.identifier.urihttp://hdl.handle.net/2003/34129-
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-7604-
dc.description.abstractGiven 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.isoende
dc.relation.ispartofseriesDiscussion Paper / SFB 823;18/2015en
dc.subjectempirical distribution functionen
dc.subjectweak convergenceen
dc.subjectLévy measureen
dc.subjectIto semimartingaleen
dc.subjecthigh-frequency statisticsen
dc.subject.ddc310-
dc.subject.ddc330-
dc.subject.ddc620-
dc.titleWeak convergence of the empirical truncated distribution function of the Lévy measure of an Itos semimartingaleen
dc.typeTextde
dc.type.publicationtypeworkingPaperde
dcterms.accessRightsopen access-
Appears in Collections:Sonderforschungsbereich (SFB) 823

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