  In this paper, local linear estimators are adapted for the unknown
infinitesimal coefficients associated with continuous-time asset return model
with jumps, which can correct the bias automatically due to their simple bias
representation. The integrated diffusion models with jumps, especially infinite
activity jumps are mainly investigated. In addition, under mild conditions, the
weak consistency and asymptotic normality is provided through the conditional
Lindeberg theorem. Furthermore, our method presents advantages in bias
correction through simulation whether jumps belong to the finite activity case
or infinite activity case. Finally, the estimators are illustrated empirically
through the returns for stock index under five-minute high sampling frequency
for real application.
