Volatility Estmators for Discretely Sampled Lévy Processses
Abstract
This paper provides rate-efficient estimators of the volatility parameter in the presence of Lévy jumps
- Publication:
-
arXiv Mathematics e-prints
- Pub Date:
- May 2005
- DOI:
- 10.48550/arXiv.math/0505184
- arXiv:
- arXiv:math/0505184
- Bibcode:
- 2005math......5184A
- Keywords:
-
- Mathematics - Statistics Theory;
- AMS2000: primary 32F12;
- 62M05;
- secondary 60H10;
- 60J60