Aït-Sahalia, Yacine; Jacod, Jean - In: Econometrica 76 (2008) 4, pp. 727-761
This paper studies the asymptotic behavior of Fisher's information for a Lévy process discretely sampled at an increasing frequency. As a result, we derive the optimal rates of convergence of efficient estimators of the different parameters of the process and show that the rates are often...