Volatility estimators for discretely sampled Lévy processes

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 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.