Volatility Estmators for Discretely Sampled Lévy Processses

Preprints, Working Papers, ... Year : 2006

(1) , (2)

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Yacine Aït-Sahalia

Department of Economics and NBER

Jean Jacod

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

Diffusions with jumps efficient estimators discrete sampling

Statistics [math.ST]

Fichier principal

AJ-ESTIMATION-prepub.pdf (378.59 Ko)

https://hal.science/hal-00004898

Submitted on : Wednesday, April 19, 2006-5:24:16 PM

Last modification on : Friday, March 24, 2023-2:52:47 PM

Long-term archiving on: Monday, September 20, 2010-2:30:49 PM

hal-00004898 , version 1 (10-05-2005)

hal-00004898 , version 2 (19-04-2006)

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

UNIV-PARIS7 UPMC PMA CNRS INSMI LPSM SORBONNE-UNIVERSITE SU-SCIENCES

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