Estimating the degree of activity of jumps in high frequency data
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Publication:834337
DOI10.1214/08-AOS640zbMath1173.62060arXiv0908.3095OpenAlexW2045992437MaRDI QIDQ834337
Jean Jacod, Yacine Aït-Sahalia
Publication date: 19 August 2009
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0908.3095
Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
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