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math.ST2014
Recursive ECF identification of linear systems driven by Lévy processes
László Gerencsér, Máté Mánfay
In the literature the empirical characteristic function method is presented as an off-line identification method. While the results of the off-line methods are attractive, the prop…
math.ST2014
ECF identification of GARCH systems driven by Lévy processes
Máté Mánfay, László Gerencsér, Zsanett Orlovits
Lévy processes are widely used in financial mathematics, telecommunication, economics, queueing theory and natural sciences for modelling. We propose an essentially asymptotically…
math.ST2013
Identification of Finite Dimensional Lévy Systems in Financial Mathematics
L. Gerencsér, M. Mánfay
Lévy processes are widely used in financial mathematics to model return data. Price processes are then defined as a corresponding geometric Lévy process, implying the fact that ret…