Jump activity estimation for pure-jump semimartingales via self-normalized statistics
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Publication:2515498
DOI10.1214/15-AOS1327zbMath1317.62022arXiv1508.04216OpenAlexW2119055894MaRDI QIDQ2515498
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
jumpsstochastic volatilitycentral limit theoremhigh-frequency datapower variationItô semimartingalejump activity index
Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
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