2025/09/05 by Elise Bayraktar, Bayraktar, Elise, Emmanuelle Clément +1
Economics, Econometrics and Finance · #FOS: Mathematics #Probability (math.PR) #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.2509.04920
openalex publication_date 2025/09/05 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
In a high-frequency context, we investigate the efficient estimation of scaling and jump activity parameters for a stochastic differential equation driven by a Lévy process with both diffusion component and pure-jump component. We first study efficiency for the prototype Lévy process. With an in-depth analysis of the behavior of the density of the process in small time, we prove that the LAN Property holds for the joint estimation of the diffusion, scaling and jump activity parameters. We next consider a stochastic equation driven both by a Brownian Motion and a locally stable pure-jump Lévy process. Using a quasi-likelihood estimation method, we exhibit an estimator that attains the optimal rate of convergence previously identified. The asymptotic properties of the estimator are derived from sharp approximation results for the stochastic equation and for the locally stable distribution.