Volatility Estmators for Discretely Sampled Lévy Processses

Details Volatility Estmators for Discretely Sampled Lévy Processses Volatility Estmators for Discretely Sampled Lévy Processses

2005-05-10

arxiv.org/abs/math/0505184v2

Mathematics

Statistics Theory

Scientific paper

This paper provides rate-efficient estimators of the volatility parameter in
the presence of L\'{e}vy jumps

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