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AuthorGegler, Achimdc.contributor.author
Date of accession2016-03-15T06:23:12Zdc.date.accessioned
Available in OPARU since2016-03-15T06:23:12Zdc.date.available
Year of creation2011dc.date.created
AbstractIn 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.dc.description.abstract
Languageendc.language.iso
PublisherUniversität Ulmdc.publisher
LicenseStandard (ohne Print-On-Demand)dc.rights
Link to license texthttps://oparu.uni-ulm.de/xmlui/license_opod_v1dc.rights.uri
KeywordCritical regiondc.subject
KeywordHigh frequencydc.subject
KeywordKou modeldc.subject
KeywordSkorohod spacedc.subject
KeywordWeak convergencedc.subject
Dewey Decimal GroupDDC 510 / Mathematicsdc.subject.ddc
LCSHEstimation theorydc.subject.lcsh
LCSHLévy processesdc.subject.lcsh
TitleStatistical analysis of Lévy processes with application in financedc.title
Resource typeDissertationdc.type
DOIhttp://dx.doi.org/10.18725/OPARU-1804dc.identifier.doi
PPN680006559dc.identifier.ppn
URNhttp://nbn-resolving.de/urn:nbn:de:bsz:289-vts-77473dc.identifier.urn
GNDLévy-Prozessdc.subject.gnd
FacultyFakultät für Mathematik und Wirtschaftswissenschaftenuulm.affiliationGeneral
Date of activation2011-11-08T14:49:44Zuulm.freischaltungVTS
Peer reviewneinuulm.peerReview
Shelfmark print versionZ: J-H 14.318; N: J-H 14.614uulm.shelfmark
DCMI TypeTextuulm.typeDCMI
VTS ID7747uulm.vtsID
CategoryPublikationenuulm.category
Bibliographyuulmuulm.bibliographie


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