In this book, we study stochastic volatility models and methods of pricing, hedging, and
estimation. Among models, we will study models with heavy tails and long memory or long …

Estimation of a pure-jump stable Cox-Ingersoll-Ross process Page 1 Bernoulli 31(1), 2025,
484–508 https://doi.org/10.3150/24-BEJ1736 Estimation of a pure-jump stable Cox-Ingersoll-Ross …

We consider the quasi-likelihood analysis for a linear regression model driven by a Student-t
Lévy process with constant scale and arbitrary degrees of freedom. The model is observed …

The problem of integrated volatility estimation for an Ito semimartingale is considered under
discrete high-frequency observations in short time horizon. We provide an asymptotic …

In this paper we introduce a new class of state space models based on shot-noise
simulation representations of nonGaussian Lévy-driven linear systems, represented as …

Considering a class of stochastic differential equations driven by a locally stable process, we
address the joint parametric estimation, based on high frequency observations of the …

Rate-optimal estimation of the Blumenthal…Getoor index of a Lévy process Page 1
Electronic Journal of Statistics Vol. 14 (2020) 4165–4206 ISSN: 1935-7524 https://doi.org/10.1214/20-EJS1769 …

This paper deals with a projection least squares estimator of the drift function of a jump
diffusion process X computed from multiple independent copies of X observed on [0, T]. Risk …

In this paper, we get some convergence rates in total variation distance in approximating
discretized paths of Lévy driven stochastic differential equations, assuming that the driving …

A trigonometrically approximated maximum likelihood estimation for $\alpha $-stable laws is
proposed. The estimator solves the approximated likelihood equation, which is obtained by …