Testing for time-varying jump activity for pure jump semimartingales
نویسندگان
چکیده
منابع مشابه
On the jump activity index for semimartingales
Empirical evidence of asset price discontinuities or ‘‘jumps’’ in financial markets has been well documented in the literature. Recently, Aït-Sahalia and Jacod (2009b) defined a general ‘‘jump activity index’’ to describe the degree of jump activities for asset price semimartingales, and provided a consistent estimatorwhen the underlying process contains both a continuous and a jump component. ...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 2017
ISSN: 0090-5364
DOI: 10.1214/16-aos1485