This paper studies the estimation of the volatility parameter in a model where the driving process is a Brownian motion or a more general symmetric stable process that is perturbed by another Lévy process. We distinguish between a parametric case, where the law of the perturbing process is known, and a semiparametric case, where it is not. In the parametric case, we construct estimators which are asymptotically efficient. In the semiparametric case, we can obtain asymptotically efficient estimators by sampling at a sufficiently high frequency, and these estimators are efficient uniformly in the law of the perturbing process.
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Aı̈t-Sahalia et al. (2007) studied this question.
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