Zhao, Zhibiao; Wu, Wei Biao - In: Journal of Econometrics 153 (2009) 1, pp. 83-92
We study nonparametric inference of stochastic models driven by stable Lévy processes. We introduce a nonparametric estimator of the stable index that achieves the parametric rate of convergence. For the volatility function, due to the heavy-tailedness, the classical least-squares method is not...