Asymptotic inference for jump diffusions with state-dependent intensity

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Intensity process for a pure jump Lévy structural model with incomplete information
Statistical inference for the intensity in a partially observed jump diffusion
Estimating functions for jump-diffusions
Inference for option panels in pure-jump settings
Consistency and asymptotics of a Poisson intensity least-squares estimator for partially observed jump-diffusion processes
LAN property for an ergodic diffusion with jumps

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