Estimating the Jump Activity Index Under Noisy Observations Using High-Frequency Data
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Publication:3095175
DOI10.1198/jasa.2011.tm10021zbMath1232.62114OpenAlexW2007675862MaRDI QIDQ3095175
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
Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: estimation (62M09) Generalizations of martingales (60G48)
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Trading-flow assisted estimation of the jump activity index ⋮ Estimation of the Hurst parameter in the simultaneous presence of jumps and noise ⋮ A specification test of stochastic diffusion models ⋮ Confidence interval of the jump activity index based on empirical likelihood using high frequency data ⋮ Nonparametric inference for the spectral measure of a bivariate pure-jump semimartingale ⋮ Rate-optimal estimation of the Blumenthal-Getoor index of a Lévy process ⋮ Limit theorems for integrated local empirical characteristic exponents from noisy high-frequency data with application to volatility and jump activity estimation ⋮ Near-optimal estimation of jump activity in semimartingales ⋮ Testing for jumps based on high-frequency data: a method exploiting microstructure noise ⋮ Jump activity estimation for pure-jump semimartingales via self-normalized statistics ⋮ 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 estimation of volatility function in the jump-diffusion model with noisy data ⋮ INFERENCE FOR OPTION PANELS IN PURE-JUMP SETTINGS
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