Volatility Estmators for Discretely Sampled L\'{e}vy Processses
Statistics Theory
2016-08-16 v2 Statistics Theory
Abstract
This paper provides rate-efficient estimators of the volatility parameter in the presence of L\'{e}vy jumps
Keywords
Cite
@article{arxiv.math/0505184,
title = {Volatility Estmators for Discretely Sampled L\'{e}vy Processses},
author = {Yacine Aït-Sahalia and Jean Jacod},
journal= {arXiv preprint arXiv:math/0505184},
year = {2016}
}