We propose a nonparametric estimator of the jump activity index of a pure-jump semimartingale X driven by a -stable process when the underlying observations are coming from a high-frequency setting at irregular times. The proposed estimator is based on an empirical characteristic function using resca...
The applications of Normal distribution in literature are verse, the new modified univariate normal power distribution is a new distribution which is adequate for modelling bimodal data. There are many data that would have been modelled by normal distribution, but because of their bimodality, they a...
Ben Rached et al. (2024). The decoupling approach developed by dos Reis et al. (2023) defines a modified, decoupled MV-SDE with coefficients computed using a realization of the MV-SDE law estimated beforehand using a stochastic particle system. A change of measure is applied to the decouple...