Kiseop Lee

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We present a generalization of the two-sample t-test for equality of the means to the case where the sample values are to be given unequal weights. This is a natural situation in financial risk modelling where some samples are considered more reliable than others in predicting a common mean. We describe pooled and unpooled weighted t-tests, and show with an(More)
Numerous empirical studies have shown that certain exponential Lévy models are able to fit the empirical distribution of daily financial returns quite well. By contrast, very few papers have considered intraday data in spite of their growing importance. In this paper, we fill this gap by studying the ability of the Normal Inverse Gaussian (NIG) and the(More)
High frequency based estimation methods for a pure-jump subordinated Brownian motion exposed to a small additive microstructure noise are developed building on the two-scale realized variations approach developed by Zhang et al. (2005) for the estimation of a continuous Itô process. The proposed estimators are shown to be robust against the noise and to(More)
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