Limit theorems for power variations of pure-jump processes with application to activity estima\-tion

DOI10.1214/10-AAP700zbMATH Open1215.62088arXiv1104.1064OpenAlexW3122888083MaRDI QIDQ535202FDOQ535202

Authors: Viktor Todorov, George Tauchen 

Publication date: 11 May 2011

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Abstract: This paper derives the asymptotic behavior of realized power variation of pure-jump It^{o} semimartingales as the sampling frequency within a fixed interval increases to infinity. We prove convergence in probability and an associated central limit theorem for the realized power variation as a function of its power. We apply the limit theorems to propose an efficient adaptive estimator for the activity of discretely-sampled It^{o} semimartingale over a fixed interval.

Full work available at URL: https://arxiv.org/abs/1104.1064

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zbMATH Keywords

central limit theoremjumpsBlumenthal-Getoor indexhigh-frequency datarealized power variationactivity indexItô semimartingale

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Generalizations of martingales (60G48) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited In (36)

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• Higher-order small time asymptotic expansion of Itô semimartingale characteristic function with application to estimation of leverage from options
• Near-optimal estimation of jump activity in semimartingales
• Laws of large numbers for Hayashi-Yoshida-type functionals
• Variational sums and power variation: a unifying approach to model selection and estimation in semimartingale models
• Asymptotic lower bounds in estimating jumps
• Realized Laplace transforms for pure-jump semimartingales
• Weak convergence of the empirical truncated distribution function of the Lévy measure of an Itō semimartingale
• Efficient estimation of integrated volatility in presence of infinite variation jumps
• Trading-flow assisted estimation of the jump activity index
• Inference for the jump part of quadratic variation of Itô semimartingales
• On estimation of quadratic variation for multivariate pure jump semimartingales
• Testing for pure-jump processes for high-frequency data
• Second-order properties of thresholded realized power variations of FJA additive processes
• Central limit theorems for approximate quadratic variations of pure jump Itô semimartingales
• Power variation from second order differences for pure jump semimartingales
• On the jump activity index for semimartingales
• Jump activity estimation for pure-jump semimartingales via self-normalized statistics
• Estimating Jump Activity Using Multipower Variation
• Estimating functions for SDE driven by stable Lévy processes
• Estimation of a pure-jump stable Cox-Ingersoll-Ross process
• Limit theorems for integrated local empirical characteristic exponents from noisy high-frequency data with application to volatility and jump activity estimation
• Joint estimation for SDE driven by locally stable Lévy processes
• Nonparametric inference for the spectral measure of a bivariate pure-jump semimartingale
• Limit theorems for the empirical distribution function of scaled increments of Itô semimartingales at high frequencies
• On simulation of tempered stable random variates
• How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?
• Inference for option panels in pure-jump settings
• A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation
• Power variation and stochastic volatility: a review and some new results
• Inference for local distributions at high sampling frequencies: a bootstrap approach
• The fine structure of equity-index option dynamics
• Limit theorems for multipower variation in the presence of jumps
• Nonparametric inference on Lévy measures and copulas
• Large deviations of realized volatility
• Realized multi-power variation process for jump detection in the Nigerian all share index

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