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Document type:
Zeitschriftenaufsatz 
Author(s):
Muhle-Karbe, J., Kallsen, J. 
Non-TUM Co-author(s):
nein 
Cooperation:
Title:
Method of Moment Estimation in Time-Changed Lévy Models 
Abstract:
This paper introduces a method of moment estimator for the time-changed Lévy processes proposed by Carr, Geman, Madan and Yor (2003). By establishing that the returns sequence is strongly mixing with exponentially decreasing rate, we prove consistency and asymptotic normality of the resulting estimators. In addition, we fit parametrized versions of the model to real data and examine the quality of our estimators by performing a simulation study. Finally, we also show how to estimate the current...    »
 
Intellectual Contribution:
Discipline-based Research 
Journal title:
working paper 
Year:
2009 
Pages contribution:
Reviewed:
ja 
Language:
en 
Status:
Erstveröffentlichung 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Nein 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
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