We provide a new non-parametric Fourier procedure to estimate the trajectory of the instantaneous covariance process (from discrete observations of a multidimensional price process) in the presence of jumps extending the seminal work of Malliavin and Mancino (2002, 2009). Our approach relies on...

We consider the class of continuous-state branching processes with immigration (CBI-processes), introduced by Kawazu and Watanabe (1971) [10] and their limit distributions as time tends to infinity. We determine the Lévy–Khintchine triplet of the limit distribution and give an explicit...