Testing for time-varying jump activity for pure jump semimartingales (Q2012936)
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scientific article; zbMATH DE number 6756081
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| English | Testing for time-varying jump activity for pure jump semimartingales |
scientific article; zbMATH DE number 6756081 |
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Testing for time-varying jump activity for pure jump semimartingales (English)
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3 August 2017
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central limit theorem
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high-frequency data
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Itô semimartingale
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jumps
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jump activity index
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nonparametric test
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stochastic volatility
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power variation
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