D. Ivanenko

activity

20072021

most citedUniform LAN property of locally stable Lévy process observed at high frequency

8 citations · 12 across the 7 of their papers we have counts for

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Showing 2014Show all

2 papers · 1 filter

math.PR2014★ 8 cited

Uniform LAN property of locally stable Lévy process observed at high frequency

Dmytro Ivanenko, Alexey M. Kulik, Hiroki Masuda

Suppose we have a high-frequency sample from the Lévy process of the form $X_{t}^{θ} = β t + γ Z_{t} + U_{t}$ , where $Z$ is a possibly asymmetric locally $α$ -stable Lévy process, and $U$ is a nuis…

math.PR2014★ 1 cited

Second derivative of the log-likelihood in the model given by a Levy driven stochastic differential equations

D. O. Ivanenko

By means of the Malliavin calculus, integral representation for the second derivative of the loglikelihood function are given for a model based on discrete time observations of the…