Testing whether jumps have finite or infinite activity
From MaRDI portal
Publication:638809
DOI10.1214/11-AOS873zbMATH Open1234.62117arXiv1211.5219OpenAlexW3102625586MaRDI QIDQ638809FDOQ638809
Authors: Yacine Aït-Sahalia, Jean Jacod 
Publication date: 14 September 2011
Published in: The Annals of Statistics (Search for Journal in Brave)
Abstract: We propose statistical tests to discriminate between the finite and infinite activity of jumps in a semimartingale discretely observed at high frequency. The two statistics allow for a symmetric treatment of the problem: we can either take the null hypothesis to be finite activity, or infinite activity. When implemented on high-frequency stock returns, both tests point toward the presence of infinite-activity jumps in the data.
Full work available at URL: https://arxiv.org/abs/1211.5219
Recommendations
Asymptotic properties of parametric tests (62F05) Markov processes: hypothesis testing (62M02) Non-Markovian processes: hypothesis testing (62M07) Generalizations of martingales (60G48)
Cites Work
- Title not available (Why is that?)
- Hyperbolic distributions in finance
- Microstructure noise in the continuous case: the pre-averaging approach
- Testing for jumps in a discretely observed process
- The Variance Gamma Process and Option Pricing
- Option pricing when underlying stock returns are discontinuous
- Estimating the degree of activity of jumps in high frequency data
- Testing for jumps when asset prices are observed with noise -- a ``swap variance approach
- Activity signature functions for high-frequency data analysis
- Spectral estimation of the fractional order of a Lévy process
- Testing whether jumps have finite or infinite activity
Cited In (39)
- The Variance Risk Premium: Components, Term Structures, and Stock Return Predictability
- Testing the volatility jumps based on the high frequency data
- Truncated realized covariance when prices have infinite variation jumps
- Infinite density at the median and the typical shape of stock return distributions
- Identifying the successive Blumenthal-Getoor indices of a discretely observed process
- Near-optimal estimation of jump activity in semimartingales
- Market-reaction-adjusted optimal central bank intervention policy in a forex market with jumps
- Testing for jumps in a discretely observed process
- Long memory behavior of returns after intraday financial jumps
- Testing for mutually exciting jumps and financial flights in high frequency data
- Testing for time-varying jump activity for pure jump semimartingales
- Analyzing the fine structure of continuous time stochastic processes
- COMFORT: a common market factor non-Gaussian returns model
- Testing for jumps and jump intensity path dependence
- Volatility analysis in high-frequency financial data
- Efficient simulation of Lévy-driven point processes
- Convergence of extreme values of Poisson point processes at small times
- Regulation risk
- Testing long memory based on a discretely observed process
- Testing whether jumps have finite or infinite activity
- Optimum thresholding using mean and conditional mean squared error
- Model complexity and out-of-sample performance: evidence from S\&P 500 index returns
- Nonparametric tests for pathwise properties of semimartingales
- Testing the local volatility assumption: a statistical approach
- Lack of fit test for infinite variation jumps at high frequencies
- Parametric inference for discretely observed subordinate diffusions
- Is Brownian motion necessary to model high-frequency data?
- Modelling and Prediction of Financial Time Series
- Forecasting jump arrivals in stock prices: new attention-based network architecture using limit order book data
- Testing for jumps with robust spot volatility estimators
- Testing the type of a semi-martingale: Itō against multifractal
- High-frequency estimation of the Lévy-driven graph Ornstein-Uhlenbeck process
- Identifying latent factors based on high-frequency data
- Spectral projections correlation structure for short-to-long range dependent processes
- Minimax rates for the covariance estimation of multi-dimensional Lévy processes with high-frequency data
- Detecting price jumps in the presence of market microstructure noise
- Activity signature functions for high-frequency data analysis
- Testing for self-excitation in jumps
- Characterizing financial crises using high-frequency data
This page was built for publication: Testing whether jumps have finite or infinite activity
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q638809)
