Activity signature functions for high-frequency data analysis

DOI10.1016/j.jeconom.2009.06.009zbMath1431.62483MaRDI QIDQ2630154

Viktor Todorov, George Tauchen

Publication date: 25 July 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.06.009

zbMATH Keywords

jumps; Lévy process; Blumenthal-Getoor index; realized power variation; activity index

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

62P05: Applications of statistics to actuarial sciences and financial mathematics

60J76: Jump processes on general state spaces

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