Estimating Jump Activity Using Multipower Variation

DOI10.1080/07350015.2020.1784745MaRDI QIDQ6620838zbMATH OpenFDO

Authors Aleksey Kolokolov

Publication date 17 October 2024

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2020.1784745

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation
• Activity signature functions for high-frequency data analysis
• Asymptotic properties of realized power variations and related functionals of semimartingales
• Discretization of processes.
• Estimating the degree of activity of jumps in high frequency data
• Estimating the jump activity index under noisy observations using high-frequency data
• Inference in Lévy-type stochastic volatility models
• Is Brownian motion necessary to model high-frequency data?
• Jump activity estimation for pure-jump semimartingales via self-normalized statistics
• LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
• Limit theorems for bipower variation of semimartingales
• Limit theorems for multipower variation in the presence of jumps
• Limit theorems for power variations of pure-jump processes with application to activity estima\-tion
• Modeling high-frequency financial data by pure jump processes
• Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
• Nonparametric tests for pathwise properties of semimartingales
• On certain self-decomposable distributions
• On the jump activity index for semimartingales
• Processes of normal inverse Gaussian type
• Realized power variation and stochastic volatility models
• Stochastic Volatility for Lévy Processes
• The Variance Gamma Process and Option Pricing
• The fine structure of equity-index option dynamics
• The normal inverse gaussian lévy process: simulation and approximation
• Threshold bipower variation and the impact of jumps on volatility forecasting
• Variational sums and power variation: a unifying approach to model selection and estimation in semimartingale models
• Volatility jumps

Cited in

(3)

• Drift Bursts in Pure Jumps: Detection and Application to Bitcoin
• Jumps or Staleness?
• Realized skewness of oil price returns and the short-term predictability for exchange rate

This page was built for publication: Estimating Jump Activity Using Multipower Variation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6620838)