2 papers
math.PR2025
Efficient estimation of jump parameters for stochastic differential equations driven by L{é}vy processes
Elise Bayraktar, Emmanuelle Clément
In a high-frequency context, we investigate the efficient estimation of scaling and jump activity parameters for a stochastic differential equation driven by a L{é}vy process with…
math.ST2024
Volatility and jump activity estimation in a stable Cox-Ingersoll-Ross model
Elise Bayraktar, Emmanuelle Clément
We consider the parametric estimation of the volatility and jump activity in a stable Cox-Ingersoll-Ross (-stable CIR) model driven by a standard Brownian Motion and a non-symme…