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From Diffusions to Semimartingales

Yacine Aïıt-Sahalia and Jean Jacod

in High-Frequency Financial Econometrics

Published in print:
2014
Published Online:
October 2017
ISBN:
9780691161433
eISBN:
9781400850327
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691161433.003.0001
Subject:
Economics and Finance, Econometrics

This chapter presents a quick review of the theory of semimartingales, which are processes for which statistical methods are considered in this book. Topics covered include diffusions, Lévy ... More


Inference for models with asymmetric α -stable noise processes

Tatjana Lemke and Simon J. Godsill

in Unobserved Components and Time Series Econometrics

Published in print:
2015
Published Online:
January 2016
ISBN:
9780199683666
eISBN:
9780191763298
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199683666.003.0009
Subject:
Economics and Finance, Econometrics

This chapter begins with a simple general framework for inference in the presence of α‎-stable processes, where the stable processes are represented as conditionally Gaussian distributions, relying ... More


High-Frequency Observations: Identifiability and Asymptotic Efficiency

Yacine Aïıt-Sahalia and Jean Jacod

in High-Frequency Financial Econometrics

Published in print:
2014
Published Online:
October 2017
ISBN:
9780691161433
eISBN:
9781400850327
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691161433.003.0005
Subject:
Economics and Finance, Econometrics

This chapter starts with a brief reminder about a number of concepts and results which pertain to classical statistical models, without specific reference to stochastic processes. It then introduces ... More


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