On the jump activity index for semimartingales

DOI10.1016/J.JECONOM.2011.09.036zbMath1441.62754OpenAlexW2052274123MaRDI QIDQ738115

Zhi Liu, Xin-Bing Kong, Bing-Yi Jing, Per Aslak Mykland

Publication date: 15 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.09.036

zbMATH Keywords

semimartingalestable convergencepower variationhigh frequencyjump activity index

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Generalizations of martingales (60G48)

Related Items (28)

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Cites Work

• Unnamed Item
• Limit theorems for power variations of pure-jump processes with application to activity estima\-tion
• Estimating the degree of activity of jumps in high frequency data
• Volatility estimators for discretely sampled Lévy processes
• Testing for jumps in a discretely observed process
• Monte Carlo option pricing for tempered stable (CGMY) processes
• Asymptotic properties of realized power variations and related functionals of semimartingales
• Nonparametric inference of discretely sampled stable Lévy processes
• Activity signature functions for high-frequency data analysis
• Analyzing the Fine Structure of Continuous Time Stochastic Processes
• Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
• Power Variation and Time Change

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