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Annals of Data Science
Published in:

30-01-2024

Parameter Estimation for Geometric Lévy Processes with Constant Volatility

Authors: Sher Chhetri, Hongwei Long, Cory Ball

Published in: Annals of Data Science | Issue 1/2025

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Abstract

The article discusses the importance of parameter estimation for geometric Lévy processes with constant volatility, focusing on the alpha-stable geometric Lévy process. It introduces a sample characteristic function approach for estimating parameters and explores the asymptotic behavior of these estimators. The method is applied to the Dow Jones Industrial Average dataset, demonstrating its practical applicability. The study also highlights the limitations and future research directions, including the potential impact of model misspecification and the need for comparative studies with other estimation methods.
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Appendix
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Metadata
Title
Parameter Estimation for Geometric Lévy Processes with Constant Volatility
Authors
Sher Chhetri
Hongwei Long
Cory Ball
Publication date
30-01-2024
Publisher
Springer Berlin Heidelberg
Published in
Annals of Data Science / Issue 1/2025
Print ISSN: 2198-5804
Electronic ISSN: 2198-5812
DOI
https://doi.org/10.1007/s40745-024-00513-8

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