Weak convergence of the empirical truncated distribution function of the Lévy measure of an Itos semimartingale

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.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.identifier.uri	http://hdl.handle.net/2003/34129
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-7604
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
eldorado.dnb.deposit	true	de

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