Trading-flow assisted estimation of the jump activity index (Q829093): Difference between revisions

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+Estimating the degree of activity of jumps in high frequency data
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+Is Brownian motion necessary to model high-frequency data?
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+Near-optimal estimation of jump activity in semimartingales
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+Financial Modelling with Jump Processes
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+Discretization of processes.
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+Estimating the Jump Activity Index Under Noisy Observations Using High-Frequency Data
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+Modeling high-frequency financial data by pure jump processes
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+On the jump activity index for semimartingales
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+Testing for pure-jump processes for high-frequency data
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+Efficient estimation of integrated volatility incorporating trading information
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+Asymptotic properties for multipower variation of semimartingales and Gaussian integral processes with jumps
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+Estimation of the Hurst parameter in the simultaneous presence of jumps and noise
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+Power variation from second order differences for pure jump semimartingales
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+Jump activity estimation for pure-jump semimartingales via self-normalized statistics
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+Activity signature functions for high-frequency data analysis
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+Limit theorems for power variations of pure-jump processes with application to activity estima\-tion
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+Limit theorems for the empirical distribution function of scaled increments of Itô semimartingales at high frequencies
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+Vast volatility matrix estimation for high-frequency financial data
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+A Tale of Two Time Scales
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+Nonparametric inference of discretely sampled stable Lévy processes
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