Testing whether jumps have finite or infinite activity
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Publication:638809
DOI10.1214/11-AOS873zbMath1234.62117arXiv1211.5219OpenAlexW3102625586MaRDI QIDQ638809
Yacine Aït-Sahalia, Jean Jacod
Publication date: 14 September 2011
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1211.5219
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Cites Work
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- Testing for jumps when asset prices are observed with noise -- a ``swap variance approach
- Testing whether jumps have finite or infinite activity
- Estimating the degree of activity of jumps in high frequency data
- Spectral estimation of the fractional order of a Lévy process
- Testing for jumps in a discretely observed process
- Hyperbolic distributions in finance
- Microstructure noise in the continuous case: the pre-averaging approach
- Activity signature functions for high-frequency data analysis
- The Variance Gamma Process and Option Pricing
- Option pricing when underlying stock returns are discontinuous
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