Statistical analysis of Lévy processes with application in finance
FacultiesFakultät für Mathematik und Wirtschaftswissenschaften
LicenseStandard (ohne Print-On-Demand)
In this thesis an estimation method for multivariate Lévy processes is introduced that are e.g. used in finance to model stock price developments. The method is based on historical observations that are available in discrete form. We choose a high frequency framework with a time horizon that tends to infinity. We provide estimators for the covariance matrix of the diffusion part, for the drift vector and for the Lévy measure. The idea of the estimation method is to use a critical region to distinguish between jumps and diffusion.
Subject HeadingsLévy-Prozess [GND]
Estimation theory [LCSH]
Lévy processes [LCSH]