Abstract
In a recent paper [6], we derived a rate efficient (and in some cases variance efficient) estimator for the integrated volatility of the diffusion coefficient of a process in presence of infinite variation jumps. The estimation is based on discrete observations of the process on a fixed time interval with asymptotically shrinking equidistant observation grid. The result in [6] is derived under the assumption that the jump part of the discretely-observed process has a finite variation component plus a stochastic integral with respect to a stable-like Lévy process with index \(\beta >1\). Here we show that the procedure of [6] can be extended to accommodate the case when the jumps are a mixture of finitely many integrals with respect to stable-like Lévy processes with indices \(\beta _1>\cdots >\beta _M\ge 1\).
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Jacod, J., Todorov, V. (2016). Efficient Estimation of Integrated Volatility in Presence of Infinite Variation Jumps with Multiple Activity Indices. In: Podolskij, M., Stelzer, R., Thorbjørnsen, S., Veraart, A. (eds) The Fascination of Probability, Statistics and their Applications. Springer, Cham. https://doi.org/10.1007/978-3-319-25826-3_15
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DOI: https://doi.org/10.1007/978-3-319-25826-3_15
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