Trading-flow assisted estimation of the jump activity index

DOI10.1007/S11425-018-9442-1zbMATH Open1465.91121OpenAlexW3033059452MaRDI QIDQ829093FDOQ829093

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

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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)

Cites Work

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

Cited In (2)

• Confidence interval of the jump activity index based on empirical likelihood using high frequency data
• Estimating the jump activity index under noisy observations using high-frequency data

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