Confidence interval of the jump activity index based on empirical likelihood using high frequency data

DOI10.1016/J.JSPI.2011.12.016zbMATH Open1244.62150OpenAlexW1968283744MaRDI QIDQ434532FDOQ434532

Authors: Xin-Bing Kong 

Publication date: 16 July 2012

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2011.12.016

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zbMATH Keywords

[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+measure&go=Go L��vy measure]pure jump process

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric tolerance and confidence regions (62G15) Non-Markovian processes: estimation (62M09) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cites Work

• Empirical likelihood ratio confidence intervals for a single functional
• Volatility estimators for discretely sampled Lévy processes
• Testing for jumps in a discretely observed process
• Estimating the degree of activity of jumps in high frequency data
• Nonparametric inference of discretely sampled stable Lévy processes
• Power Variation and Time Change
• Activity signature functions for high-frequency data analysis
• Estimating the jump activity index under noisy observations using high-frequency data

Cited In (4)

• The asymptotics of the integrated self-weighted cross volatility estimator
• Estimating the degree of activity of jumps in high frequency data
• Empirical likelihood for high frequency data
• Empirical likelihood inference for diffusion processes with jumps

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