Jump activity estimation for pure-jump semimartingales via self-normalized statistics
From MaRDI portal
Publication:2515498
DOI10.1214/15-AOS1327zbMath1317.62022arXiv1508.04216MaRDI 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
jumps; stochastic volatility; central limit theorem; high-frequency data; power variation; Itô semimartingale; jump activity index
62F12: Asymptotic properties of parametric estimators
62M05: Markov processes: estimation; hidden Markov models
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
Related Items
Exact simulation of Ornstein–Uhlenbeck tempered stable processes, INFERENCE FOR OPTION PANELS IN PURE-JUMP SETTINGS, On the estimation of the jump activity index in the case of random observation times, Trading-flow assisted estimation of the jump activity index, Nonparametric inference of gradual changes in the jump behaviour of time-continuous processes, Testing for self-excitation in jumps, Nonparametric inference for the spectral measure of a bivariate pure-jump semimartingale, Limit theorems for integrated local empirical characteristic exponents from noisy high-frequency data with application to volatility and jump activity estimation, Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale, On estimation of quadratic variation for multivariate pure jump semimartingales, Estimation of state-dependent jump activity and drift for Markovian semimartingales, Unbiased truncated quadratic variation for volatility estimation in jump diffusion processes, Rate-optimal estimation of the Blumenthal-Getoor index of a Lévy process, Convergence of extreme values of Poisson point processes at small times, A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation, Inference for local distributions at high sampling frequencies: a bootstrap approach, Nonparametric Gaussian inference for stable processes, Estimating functions for SDE driven by stable Lévy processes, Identifying latent factors based on high-frequency data
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Quarticity and other functionals of volatility: efficient estimation
- A direct approach to risk approximation for vast portfolios under gross-exposure constraint using high-frequency data
- Estimation of the activity of jumps in time-changed Lévy models
- Realized Laplace transforms for pure-jump semimartingales
- Limit theorems for power variations of pure-jump processes with application to activity estima\-tion
- Spectral estimation of the Lévy density in partially observed affine models
- Nonparametric estimation for Lévy processes from low-frequency observations
- Discretization of processes.
- Statistical inference for time-changed Lévy processes via composite characteristic function estimation
- Nonparametric estimation for a class of Lévy processes
- On the jump activity index for semimartingales
- Limit theorems for the empirical distribution function of scaled increments of Itô semimartingales at high frequencies
- Estimating the stable index \(\alpha\) in order to measure tail thickness: a critique
- Estimating the degree of activity of jumps in high frequency data
- Spectral estimation of the fractional order of a Lévy process
- Abelian theorems for stochastic volatility models with application to the estimation of jump activity
- On the asymptotic normality of the maximum-likelihood estimate when sampling from a stable distribution
- Testing for pure-jump processes for high-frequency data
- Power variation from second order differences for pure jump semimartingales
- Estimating the Jump Activity Index Under Noisy Observations Using High-Frequency Data
- Estimation of Correlation for Continuous Semimartingales
- Inference in Lévy-type stochastic volatility models
- Variational sums and power variation: a unifying approach to model selection and estimation in semimartingale models
- A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
- Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection
