Volatility estimators for discretely sampled Lévy processes
Work
Year: 2007
Type: article
Abstract: 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 pro... more
Source: The Annals of Statistics
Authors Yacine Aït‐Sahalia, Jean Jacod
Cites: 30
Cited by: 116
Related to: 10
FWCI: 13.94
Citation percentile (by year/subfield): 97.84
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Peace, justice, and strong institutions
Open Access status: bronze