Trading-flow assisted estimation of the jump activity index

DOI10.1007/S11425-018-9442-1MaRDI QIDQ829093zbMATH OpenOpenAlexFDO

Authors Guangying Liu, Shangyu Xie, Xin-Bing Kong

Publication date 5 May 2021

Published in Science China. Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11425-018-9442-1

zbMATH Keywords

power variationtrading volumejump activity index[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=pure-jump+It%EF%BF%BD%EF%BF%BD+semimartingale&go=Go pure-jump It�� semimartingale]

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Martingales with continuous parameter (60G44) Interest rates, asset pricing, etc. (stochastic models) (91G30) Jump processes on general state spaces (60J76)

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Cites work

• A Tale of Two Time Scales
• Activity signature functions for high-frequency data analysis
• Asymptotic properties for multipower variation of semimartingales and Gaussian integral processes with jumps
• Discretization of processes.
• Efficient estimation of integrated volatility incorporating trading information
• Estimating the degree of activity of jumps in high frequency data
• Estimating the jump activity index under noisy observations using high-frequency data
• Estimation of the Hurst parameter in the simultaneous presence of jumps and noise
• Financial Modelling with Jump Processes
• Is Brownian motion necessary to model high-frequency data?
• Jump activity estimation for pure-jump semimartingales via self-normalized statistics
• Limit theorems for power variations of pure-jump processes with application to activity estima\-tion
• Limit theorems for the empirical distribution function of scaled increments of Itô semimartingales at high frequencies
• Modeling high-frequency financial data by pure jump processes
• Near-optimal estimation of jump activity in semimartingales
• Nonparametric inference of discretely sampled stable Lévy processes
• On the jump activity index for semimartingales
• Power variation from second order differences for pure jump semimartingales
• Testing for pure-jump processes for high-frequency data
• Vast volatility matrix estimation for high-frequency financial data

Cited in

(5)

• Estimation of state-dependent jump activity and drift for Markovian semimartingales
• Near-optimal estimation of jump activity in semimartingales
• Confidence interval of the jump activity index based on empirical likelihood using high frequency data
• On the jump activity index for semimartingales
• Estimating the jump activity index under noisy observations using high-frequency data

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