scholarly journals Minimax rates for the covariance estimation of multi-dimensional Lévy processes with high-frequency data

2020 ◽  
Vol 14 (2) ◽  
pp. 3525-3562
Author(s):  
Katerina Papagiannouli
Keyword(s):  
High Frequency ◽  
Lévy Processes ◽  
Levy Processes ◽  
Covariance Estimation ◽  
High Frequency Data ◽  
Frequency Data ◽  
Minimax Rates

scholarly journals Estimation for Lévy processes from high frequency data within a long time interval

2011 ◽  
Vol 39 (2) ◽  
pp. 803-837 ◽  
Author(s):  
Fabienne Comte ◽  
Valentine Genon-Catalot
Keyword(s):  
High Frequency ◽  
Lévy Processes ◽  
Levy Processes ◽  
High Frequency Data ◽  
Time Interval ◽  
Frequency Data ◽  
Long Time

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

2009 ◽  
Vol 119 (12) ◽  
pp. 4088-4123 ◽  
Author(s):  
F. Comte ◽  
V. Genon-Catalot
Keyword(s):  
Nonparametric Estimation ◽  
High Frequency ◽  
Lévy Processes ◽  
Levy Processes ◽  
High Frequency Data ◽  
Frequency Data

The estimation for Lévy processes in high frequency data

2016 ◽  
Vol 37 (10) ◽  
pp. 1051-1066 ◽  
Author(s):  
Jing Zheng ◽  
Wentao Gu ◽  
Baolin Xu ◽  
Zongwu Cai
Keyword(s):  
High Frequency ◽  
Lévy Processes ◽  
Levy Processes ◽  
High Frequency Data ◽  
Frequency Data

scholarly journals Range-Based Covariance Estimation Using High-Frequency Data: The Realized Co-Range

2009 ◽  
Vol 7 (4) ◽  
pp. 341-372 ◽  
Author(s):  
K. Bannouh ◽  
D. van Dijk ◽  
M. Martens
Keyword(s):  
High Frequency ◽  
Covariance Estimation ◽  
High Frequency Data ◽  
Frequency Data

Covariance estimation using high-frequency data: Sensitivities of estimation methods

2014 ◽  
Vol 43 ◽  
pp. 416-425 ◽  
Author(s):  
Erik Haugom ◽  
Gudbrand Lien ◽  
Steinar Veka ◽  
Sjur Westgaard
Keyword(s):  
High Frequency ◽  
Covariance Estimation ◽  
Estimation Methods ◽  
High Frequency Data ◽  
Frequency Data
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