Estimating the jump activity index under noisy observations using high-frequency data
DOI10.1198/JASA.2011.TM10021zbMATH Open1232.62114OpenAlexW2007675862MaRDI QIDQ3095175FDOQ3095175
Zhi Liu, Bing-Yi Jing, Xin-Bing Kong
Publication date: 28 October 2011
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1198/jasa.2011.tm10021
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Cited In (18)
- Confidence interval of the jump activity index based on empirical likelihood using high frequency data
- Near-optimal estimation of jump activity in semimartingales
- Estimating the degree of activity of jumps in high frequency data
- Testing for jumps based on high-frequency data: a method exploiting microstructure noise
- Rate-optimal estimation of the Blumenthal-Getoor index of a Lévy process
- INFERENCE FOR OPTION PANELS IN PURE-JUMP SETTINGS
- Trading-flow assisted estimation of the jump activity index
- Jump activity estimation for pure-jump semimartingales via self-normalized statistics
- Estimating Jump Activity Using Multipower Variation
- Limit theorems for integrated local empirical characteristic exponents from noisy high-frequency data with application to volatility and jump activity estimation
- Nonparametric inference for the spectral measure of a bivariate pure-jump semimartingale
- 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
- Estimation of the Hurst parameter in the simultaneous presence of jumps and noise
- Nonparametric estimation of volatility function in the jump-diffusion model with noisy data
- Activity signature functions for high-frequency data analysis
- Testing for jumps in noisy high frequency data
- A specification test of stochastic diffusion models
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