Volatility estimators for discretely sampled Lévy processes
Aït-Sahalia, Yacine ; Jacod, Jean
Ann. Statist., Tome 35 (2007) no. 1, p. 355-392 / Harvested from Project Euclid
This paper studies the estimation of the volatility parameter in a model where the driving process is a Brownian motion or a more general symmetric stable process that is perturbed by another Lévy process. We distinguish between a parametric case, where the law of the perturbing process is known, and a semiparametric case, where it is not. In the parametric case, we construct estimators which are asymptotically efficient. In the semiparametric case, we can obtain asymptotically efficient estimators by sampling at a sufficiently high frequency, and these estimators are efficient uniformly in the law of the perturbing process.
Publié le : 2007-02-14
Classification:  Jumps,  efficiency,  inference,  discrete sampling,  62F12,  62M05,  60H10,  60J60
@article{1181100191,
     author = {A\"\i t-Sahalia, Yacine and Jacod, Jean},
     title = {Volatility estimators for discretely sampled L\'evy processes},
     journal = {Ann. Statist.},
     volume = {35},
     number = {1},
     year = {2007},
     pages = { 355-392},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1181100191}
}
Aït-Sahalia, Yacine; Jacod, Jean. Volatility estimators for discretely sampled Lévy processes. Ann. Statist., Tome 35 (2007) no. 1, pp.  355-392. http://gdmltest.u-ga.fr/item/1181100191/