Volatility estimators for discretely sampled Lévy processes
Open Access
- 1 February 2007
- journal article
- Published by Institute of Mathematical Statistics in The Annals of Statistics
- Vol. 35 (1) , 355-392
- https://doi.org/10.1214/009053606000001190
Abstract
This paper provides rate-efficient estimators of the volatility parameter in the presence of L\'{e}vy jumpsKeywords
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