We conduct inference on volatility with noisy high‐frequency data. We assume the observed transaction price follows a continuous‐time Itô‐semimartingale, contaminated by a discrete‐time moving‐average noise process associated with the arrival of trades. We estimate volatility, defined...

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...