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- W598798970 abstract "In this thesis, we analyze nonparametric estimation of Levy-based models using wavelets methods. As the considered class is restricted to pure-jump Levy processes, it is sufficient to estimate their Levy densities. For implementing a wavelet density estimator, it is necessary to setup a preliminary histogram estimator. Simulation studies show that there is an improvement of the wavelet estimator by invoking an optimally selected histogram. The wavelet estimator is based on block-thresholding of empirical coefficients. We conclude with two empirical applications which show that there is a very high arrival rate of small jumps in financial data sets." @default.
- W598798970 created "2016-06-24" @default.
- W598798970 creator A5038813087 @default.
- W598798970 date "2012-07-31" @default.
- W598798970 modified "2023-09-23" @default.
- W598798970 title "Nonparametric estimation of the jump component in financial time series" @default.
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