Nonparametric estimation for pure jump Lévy processes based on high frequency data.

By Fabienne Comte, Valentine Genon-Catalot. 2009

80 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/6861d8f3ba367ecd0ea79fe0aa09042d88efd113

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In Finance

1. Valentine Genon-Catalot
2. Fabienne Comte
3. Christian M. Hafner
4. Helmut Herwartz
5. Christian Francq
6. Jean-Michel Zakoian
7. Pentti Saikkonen

In Management Science and Operations Research

1. Fabienne Comte
2. Valentine Genon-Catalot

Citations in the corpus

• Estimation for L\'{e}vy processes from high frequency data within a long time interval (2011, methodology): “…of b̃= σ2 = 0 or assuming stronger integrability conditions on the Lévy density [see, e.g., Watteel and Kulperger (2003), Jongbloed and van der Meulen (2006), van Es, Gugushvili and Spreij (2007), Figueroa-López (2009) and the references therein, Comte and Genon-Catalot (2009, 2010a, 2010b)].”