Major Oral: "Efficient Estimation Of The Volatility And Jump Activity Index Of Lévy Processes"
Speaker: Yuchen Han, Washington University in Saint Louis
Abstract: Models for stochastic processes with jumps is a general tool that seeks to explain abrupt changes in the course of an event. We want to study the jump behavior of these processes, which can be characterized in terms of the jump activity index. In this talk, we are going to discuss the jump activity index estimation using the method of moments, and how to adapt this method to estimate the volatility in the tempered stable Levy model. Furthermore, we will address some future work about the consistency and asymptotic behavior of the proposed estimators.
Host: Jose Figueroa-Lopez
(Access Zoom Meeting HERE)