Trabs, Mathias - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
We study the nonparametric calibration of exponential, self-decomposable Levy models whose jump density can be characterized by the k-function, which is typically nonsmooth at zero. On the one hand the estimation of the drift, the activity measure alpha:= k(0+) + k(0-) and analog parameters for...