Volatility estimators for discretely sampled Lévy processes

Annals of Statistics

Volumn 35, Issue 1, 2007, Pages 355-392

  Aït Sahalia, Yacine ^a   Jacod, Jean ^b  

^a PRINCETON UNIVERSITY   (United States)

^b INSTITUT DE MATHÉMATIQUES DE JUSSIEU   (France)

Author keywords

Discrete sampling; Efficiency; Inference; Jumps

Indexed keywords

EID: 34548023382     PISSN: 00905364     EISSN: None     Source Type: Journal    
DOI: 10.1214/009053606000001190     Document Type: Article

References (23)

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