Near-optimal estimation of jump activity in semimartingales

DOI10.1214/15-AOS1349zbMATH Open1334.62179arXiv1409.8150OpenAlexW1565700437MaRDI QIDQ5963516FDOQ5963516

Adam D. Bull

Publication date: 22 February 2016

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

Abstract: In quantitative finance, we often model asset prices as semimartingales, with drift, diffusion and jump components. The jump activity index measures the strength of the jumps at high frequencies, and is of interest both in model selection and fitting, and in volatility estimation. In this paper, we give a novel estimate of the jump activity, together with corresponding confidence intervals. Our estimate improves upon previous work, achieving near-optimal rates of convergence, and good finite-sample performance in Monte-Carlo experiments.

Full work available at URL: https://arxiv.org/abs/1409.8150

zbMATH Keywords

semimartingaleBlumenthal-Getoor indexjump activityinfinite variationLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Parametric tolerance and confidence regions (62F25) Markov processes: hypothesis testing (62M02) Applications of statistics to actuarial sciences and financial mathematics (62P05) Generalizations of martingales (60G48)

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Cited In (11)

• Estimation of the activity of jumps in time-changed Lévy models
• Estimation of tempered stable Lévy models of infinite variation
• 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
• Statistical specification of jumps under semiparametric semimartingale models
• Estimation of mixed fractional stable processes using high-frequency data
• Nonparametric Gaussian inference for stable processes
• Limit theorems for integrated local empirical characteristic exponents from noisy high-frequency data with application to volatility and jump activity estimation
• Estimation of state-dependent jump activity and drift for Markovian semimartingales
• Nonparametric inference for the spectral measure of a bivariate pure-jump semimartingale

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