On the jump activity index for semimartingales
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Publication:738115
DOI10.1016/J.JECONOM.2011.09.036zbMATH Open1441.62754OpenAlexW2052274123MaRDI QIDQ738115FDOQ738115
Authors: Bing-Yi Jing, Xin-Bing Kong, Zhi Liu, 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
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Processes with independent increments; Lévy processes (60G51) Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Generalizations of martingales (60G48)
Cites Work
- Asymptotic properties of realized power variations and related functionals of semimartingales
- Limit theorems for power variations of pure-jump processes with application to activity estima\-tion
- Volatility estimators for discretely sampled Lévy processes
- Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
- Testing for jumps in a discretely observed process
- Estimating the degree of activity of jumps in high frequency data
- Title not available (Why is that?)
- Monte Carlo option pricing for tempered stable (CGMY) processes
- Nonparametric inference of discretely sampled stable Lévy processes
- Power Variation and Time Change
- Activity signature functions for high-frequency data analysis
- Analyzing the fine structure of continuous time stochastic processes
Cited In (35)
- Identifying the successive Blumenthal-Getoor indices of a discretely observed process
- Optimally thresholded realized power variations for Lévy jump diffusion models
- Near-optimal estimation of jump activity in semimartingales
- Estimating the integrated volatility using high-frequency data with zero durations
- Testing for mutually exciting jumps and financial flights in high frequency data
- Estimating the jump activity index under noisy observations using high-frequency data
- Analyzing the fine structure of continuous time stochastic processes
- Regulating stochastic clocks§
- A rank test for the number of factors with high-frequency data
- Rate-optimal estimation of the Blumenthal-Getoor index of a Lévy process
- Between data cleaning and inference: pre-averaging and robust estimators of the efficient price
- IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS
- Trading-flow assisted estimation of the jump activity index
- Bandwidth selection of nonparametric threshold estimator in jump-diffusion models
- Optimal iterative threshold-kernel estimation of jump diffusion processes
- Testing for pure-jump processes for high-frequency data
- Explicit and combined estimators for parameters of stable distributions
- Jump activity estimation for pure-jump semimartingales via self-normalized statistics
- On the systematic and idiosyncratic volatility with large panel high-frequency data
- Estimating Jump Activity Using Multipower Variation
- 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
- Goodness-of-Fit Test in Multivariate Jump Diffusion Models
- Central limit theorems for power variation of Gaussian integral processes with jumps
- Estimation of state-dependent jump activity and drift for Markovian semimartingales
- Nonparametric inference for the spectral measure of a bivariate pure-jump semimartingale
- Inference for option panels in pure-jump settings
- A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation
- Identifying latent factors based on high-frequency data
- Estimating the positive and negative jumps of asset returns via Kalman filtering. The case of Nasdaq index
- Nonparametric estimation of volatility function in the jump-diffusion model with noisy data
- Testing for self-excitation in jumps
- A specification test of stochastic diffusion models
- ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS
- Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations
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