Estimating the degree of activity of jumps in high frequency data

DOI10.1214/08-AOS640zbMATH Open1173.62060arXiv0908.3095OpenAlexW2045992437MaRDI QIDQ834337FDOQ834337

Authors: Yacine Aït-Sahalia, Jean Jacod 

Publication date: 19 August 2009

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: We define a generalized index of jump activity, propose estimators of that index for a discretely sampled process and derive the estimators' properties. These estimators are applicable despite the presence of Brownian volatility in the process, which makes it more challenging to infer the characteristics of the small, infinite activity jumps. When the method is applied to high frequency stock returns, we find evidence of infinitely active jumps in the data and estimate their index of activity.

Full work available at URL: https://arxiv.org/abs/0908.3095

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zbMATH Keywords

jumpsdiscrete samplinghigh frequencyinfinite activityindex of activity

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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