Volatility Estmators for Discretely Sampled Lévy Processses

Yacine Aït-Sahalia (1) , Jean Jacod (2)

1 Department of Economics and NBER
2 LPMA - Laboratoire de Probabilités et Modèles Aléatoires

This paper provides rate-efficient estimators of the volatility parameter in the presence of Lévy jumps

Mots clés: Diffusions with jumps; efficient estimators; discrete sampling

Domaines: Statistiques [math.ST]

Yacine Aït-Sahalia, Jean Jacod. Volatility Estmators for Discretely Sampled Lévy Processses. 2006. ⟨hal-00004898v2⟩