Volatility estimators for discretely sampled Lévy processes

DOI10.1214/009053606000001190zbMath1114.62109arXivmath/0505184OpenAlexW1987003658MaRDI QIDQ997383

Jean Jacod, Yacine Aït-Sahalia

Publication date: 23 July 2007

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0505184

zbMATH Keywords

jumpsefficiencyinferencediscrete sampling

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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Uses Software

• STABLE

Cites Work

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