Hoffmann, MichaelVetter, Mathias2015-06-292015-06-292015http://hdl.handle.net/2003/3412910.17877/DE290R-7604Given an Ito semimartingale with a time-homogeneous jump part observed at high frequency, we prove weak convergence of a normalized truncated empirical distribution function of the Levy measure to a Gaussian process. In contrast to competing procedures, our estimator works for processes with a non-vanishing diffusion component and under simple assumptions on the jump process.enDiscussion Paper / SFB 823;18/2015empirical distribution functionweak convergenceLévy measureIto semimartingalehigh-frequency statistics310330620working paper