Testing for time-varying jump activity for pure jump semimartingales
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central limit theoremhigh-frequency dataItô semimartingalejump activity indexjumpsnonparametric testpower variationstochastic volatility
Martingales with discrete parameter (60G42) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Markov processes: hypothesis testing (62M02) Markov processes: estimation; hidden Markov models (62M05)
Recommendations
- Jump activity estimation for pure-jump semimartingales via self-normalized statistics
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- Testing whether jumps have finite or infinite activity
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(17)- Nonparametric inference of gradual changes in the jump behaviour of time-continuous processes
- Nonparametric inference for the spectral measure of a bivariate pure-jump semimartingale
- Testing against constant factor loading matrix with large panel high-frequency data
- Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale
- Estimation of state-dependent jump activity and drift for Markovian semimartingales
- Testing and inference for fixed times of discontinuity in semimartingales
- A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation
- Testing the characteristics of a Lévy process
- Power variation from second order differences for pure jump semimartingales
- Jump activity estimation for pure-jump semimartingales via self-normalized statistics
- Identifying latent factors based on high-frequency data
- Nonparametric tests for pathwise properties of semimartingales
- Nonparametric tests for detecting breaks in the jump behaviour of a time-continuous process
- On the estimation of the jump activity index in the case of random observation times
- On Bivariate Time-Varying Price Staleness
- New tests for jumps in semimartingale models
- Drift Bursts in Pure Jumps: Detection and Application to Bitcoin
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