ABSTRACT

Aı¨t-Sahalia, Y. (2004). Disentangling diffusion from jumps. J. Financial Econometrics, 74, 487-528.

Aı¨t-Sahalia, Y., & Jacod, J. (2008). Fisher’s information for discretely sampled Le´vy processes. Econometrica, 76, 727-761.