Belomestny, Denis - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009
, Blumenthal-Getoor index, semiparametric estimation
JEL CLASSIFICATION: C12, C13
1 Introduction
Nowadays L´evy processes are … order or the Blumenthal-Getoor index of the L´evy process Xt.
This index α is related to the“degree of activity”of jumps … frequent the small jumps become (see A¨ıt-Sahalia and
Jacod (2009) for more discussion).
The Blumenthal-Getoor index is closely …