Analyzing the fine structure of continuous time stochastic processes

DOI10.1007/978-3-0348-0021-1_26MaRDI QIDQ2904892zbMATH OpenOpenAlexFDO

Authors Jeannette Woerner

Publication date 24 August 2012

Published in Seminar on Stochastic Analysis, Random Fields and Applications VI (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-0348-0021-1_26

zbMATH Keywords

Blumenthal-Getoor indexfractional Brownian motionhigh frequency dataHurst exponentLévy processpower variationstatistical inferencestochastic volatility model

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Processes with independent increments; Lévy processes (60G51) Diffusion processes (60J60) Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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(13)

• Testing for jumps in a discretely observed process
• Estimating the p-variation index of a sample function: an application to financial data set
• Convergence of extreme values of Poisson point processes at small times
• Testing for diffusion in a discretely observed semimartingale
• Asymptotic properties for multipower variation of semimartingales and Gaussian integral processes with jumps
• Nonparametric tests for pathwise properties of semimartingales
• Near-optimal estimation of jump activity in semimartingales
• Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with S\&P500 data
• Parameter estimation of an agent-based stock price model
• Identifying the successive Blumenthal-Getoor indices of a discretely observed process
• The normal-generalised gamma-Pareto process: a novel pure-jump Lévy process with flexible tail and jump-activity properties
• On the jump activity index for semimartingales
• Estimating the degree of activity of jumps in high frequency data

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