Fisher's information for discretely sampled lévy processes

Econometrica

Volumn 76, Issue 4, 2008, Pages 727-761

  Aït Sahalia, Yacine ^a,b   Jacod, Jean ^c,d  

^a PRINCETON UNIVERSITY   (United States)

^b NBER ^*

^c INSTITUT DE MATHÉMATIQUES DE JUSSIEU   (France)

^d SORBONNE UNIVERSITÉ   (France)

Author keywords

Jumps; L vy process; Optimal estimation; Rate of convergence

Indexed keywords

EID: 47249088312     PISSN: 00129682     EISSN: 14680262     Source Type: Journal    
DOI: 10.1111/j.1468-0262.2008.00858.x     Document Type: Article

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