Title: Estimation of path dependent functionals under high frequency sampling
Authors: Mark Podolskij - University of Luxembourg (Luxembourg) [presenting]
Abstract: Some recent results are presented about the (optimal) estimation of certain path-dependent functionals of Levy processes under high-frequency sampling. We mainly consider supremum, local time and occupation time measures. The focus is on the construction of estimators and the corresponding limit theorems. Furthermore, we will discuss how these estimates can be applied in practice.