Nonparametric inference for Lévy-driven Ornstein-Uhlenbeck processes
Work
Year: 2005
Type: article
Abstract: We consider nonparametric estimation of the Lévy measure of a hidden Lévy process driving a stationary Ornstein-Uhlenbeck process which is observed at discrete time points. This Lévy measure can be ex... more
Source: Bernoulli
Institution Vrije Universiteit Amsterdam
Cites: 35
Cited by: 102
Related to: 10
FWCI: 3.539
Citation percentile (by year/subfield): 94.85
Subfield: Finance
Domain: Social Sciences
Open Access status: bronze