Trading-flow assisted estimation of the jump activity index

DOI10.1007/S11425-018-9442-1zbMath1465.91121OpenAlexW3033059452MaRDI QIDQ829093

Guangying Liu, Shangyu Xie, Xin-Bing Kong

Publication date: 5 May 2021

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-018-9442-1

zbMATH Keywords

power variationtrading volumejump activity indexpure-jump Itô semimartingale

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Martingales with continuous parameter (60G44) Interest rates, asset pricing, etc. (stochastic models) (91G30) Jump processes on general state spaces (60J76)

Cites Work

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