Nonparametric inference of discretely sampled stable Lévy processes

Journal of Econometrics

Volumn 153, Issue 1, 2009, Pages 83-92

  Zhao, Zhibiao ^a,b   Wu, Wei Biao ^a,b  

^a PENNSYLVANIA STATE UNIVERSITY   (United States)

^b UNIVERSITY OF CHICAGO   (United States)

Author keywords

Bahadur Kiefer representation; L vy process; Nonparametric estimation; Quantile regression; Spot volatility; Stable index; Stable process

Indexed keywords

BAHADUR-KIEFER REPRESENTATION; NONPARAMETRIC ESTIMATION; QUANTILE REGRESSION; SPOT VOLATILITY; STABLE INDEX; STABLE PROCESS;

ASYMPTOTIC ANALYSIS; ESTIMATION; STABILITY CRITERIA; STOCHASTIC MODELS;

FARM BUILDINGS;

EID: 70349136625     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2009.04.007     Document Type: Article

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