Analyzing the fine structure of continuous time stochastic processes

DOI10.1007/978-3-0348-0021-1_26MaRDI QIDQ2904892zbMATH OpenOpenAlexFDO

Authors Jeannette Woerner

Publication date 24 August 2012

Published in Seminar on Stochastic Analysis, Random Fields and Applications VI (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-0348-0021-1_26

zbMATH Keywords

fractional Brownian motionHurst exponentstatistical inferenceBlumenthal-Getoor indexhigh frequency datapower variationstochastic volatility modelLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Fractional processes, including fractional Brownian motion (60G22) Diffusion processes (60J60)

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Cited in

(12)

• Identifying the successive Blumenthal-Getoor indices of a discretely observed process
• Near-optimal estimation of jump activity in semimartingales
• Estimating the degree of activity of jumps in high frequency data
• Parameter estimation of an agent-based stock price model
• Testing for jumps in a discretely observed process
• Convergence of extreme values of Poisson point processes at small times
• Testing for diffusion in a discretely observed semimartingale
• On the jump activity index for semimartingales
• Nonparametric tests for pathwise properties of semimartingales
• Estimating the p-variation index of a sample function: an application to financial data set
• Asymptotic properties for multipower variation of semimartingales and Gaussian integral processes with jumps
• Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with S\&P500 data

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