Jump activity estimation for pure-jump semimartingales via self-normalized statistics

DOI10.1214/15-AOS1327zbMath1317.62022arXiv1508.04216OpenAlexW2119055894MaRDI QIDQ2515498

Viktor Todorov

Publication date: 5 August 2015

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1508.04216

zbMATH Keywords

jumpsstochastic volatilitycentral limit theoremhigh-frequency datapower variationItô semimartingalejump activity index

Mathematics Subject Classification ID

Related Items (20)

Nonparametric inference of gradual changes in the jump behaviour of time-continuous processes ⋮ Trading-flow assisted estimation of the jump activity index ⋮ Estimation of state-dependent jump activity and drift for Markovian semimartingales ⋮ Bootstrapping Laplace transforms of volatility ⋮ Unbiased truncated quadratic variation for volatility estimation in jump diffusion processes ⋮ On the estimation of the jump activity index in the case of random observation times ⋮ Identifying latent factors based on high-frequency data ⋮ Testing for self-excitation in jumps ⋮ Nonparametric inference for the spectral measure of a bivariate pure-jump semimartingale ⋮ Rate-optimal estimation of the Blumenthal-Getoor index of a Lévy process ⋮ Convergence of extreme values of Poisson point processes at small times ⋮ Limit theorems for integrated local empirical characteristic exponents from noisy high-frequency data with application to volatility and jump activity estimation ⋮ Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale ⋮ On estimation of quadratic variation for multivariate pure jump semimartingales ⋮ A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation ⋮ Inference for local distributions at high sampling frequencies: a bootstrap approach ⋮ INFERENCE FOR OPTION PANELS IN PURE-JUMP SETTINGS ⋮ Exact simulation of Ornstein–Uhlenbeck tempered stable processes ⋮ Nonparametric Gaussian inference for stable processes ⋮ Estimating functions for SDE driven by stable Lévy processes

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