On the jump activity index for semimartingales (Q738115): Difference between revisions

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-.1016/j.jeconom.2011.09.036
@@ Property / DOI: 10.1016/j.jeconom.2011.09.036 / rank @@
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jeconom.2011.09.036
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+W2052274123
@@ Property / OpenAlex ID: W2052274123 / rank @@
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@@ Property / cites work @@
+Volatility estimators for discretely sampled Lévy processes
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@@ Property / cites work @@
+Testing for jumps in a discretely observed process
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@@ Property / cites work @@
+Estimating the degree of activity of jumps in high frequency data
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@@ Property / cites work @@
+Power Variation and Time Change
@@ Property / cites work: Power Variation and Time Change / rank @@
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@@ Property / cites work @@
+Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
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@@ Property / cites work @@
+Asymptotic properties of realized power variations and related functionals of semimartingales
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@@ Property / cites work @@
+Q4856610
@@ Property / cites work: Q4856610 / rank @@
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@@ Property / cites work @@
+Monte Carlo option pricing for tempered stable (CGMY) processes
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@@ Property / cites work @@
+Activity signature functions for high-frequency data analysis
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@@ Property / cites work @@
+Limit theorems for power variations of pure-jump processes with application to activity estima\-tion
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@@ Property / cites work @@
+Analyzing the Fine Structure of Continuous Time Stochastic Processes
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@@ Property / cites work @@
+Nonparametric inference of discretely sampled stable Lévy processes
+Normal rank
@@ Property / DOI @@
+.1016/J.JECONOM.2011.09.036
@@ Property / DOI: 10.1016/J.JECONOM.2011.09.036 / rank @@
+Normal rank