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Activity Number: 369
Type: Contributed
Date/Time: Tuesday, August 4, 2009 : 2:00 PM to 3:50 PM
Sponsor: Section on Nonparametric Statistics
Abstract - #305191
Title: Nonparametric Estimation for Multivariate Lévy Processes
Author(s): Roger Laeven*+
Companies: Tilburg University
Address: P.O. Box 90153, Tilburg, International, 5000 LE , The Netherlands
Keywords: Lévy processes ; nonparametric estimation ; empirical processes ; stochastic dependence ; jumps ; discrete sampling
Abstract:

We propose two nonparametric estimators for the dependence function of a multivariate Lévy process, and derive the estimators' properties. In addition, we construct a test for independence. The estimators and test are applicable despite the presence of a continuous Brownian component in the process. We finally implement the estimators and test on Monte Carlo simulations and on asset returns data.

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