Wednesday, September 23, 2009
03:30 PM in REC 315
Professor Jose Figueroa-Lopez
Department of Statistics, Purdue University

Some estimation problems related to time-changed Lèvy models

Abstract

Time-changed Lèvy models are known to capture several stylized features of asset prices such as leptokurtic distributions and volatility clustering. In this talk we study the problem of estimating the parameters controlling the jump behavior of the process as well as the underlying random clock. We obtain consistent estimation of the relevant parameters when both the sampling time-horizon and frequency get larger, and prove central limit theorems for our estimators. The performance of the estimators are also tested numerically for a variance Gamma Lèvy process time-changed by a CIR diffusion model.