Testing whether jumps have finite or infinite activity
نویسندگان
چکیده
منابع مشابه
Supplement to " Testing Whether Jumps Have Finite or Infinite Activity
When ≥ 2 these processes are finite-valued, but not necessarily so when 2. In this case we have to be careful: if = inf( : () =∞) and 0 = inf( : 0() = ∞) then both processes () and 0() are null at 0 and finite-valued on [0 ) and [0 0) respectively, the first continuous and the second one càdlàg with jumps not bigger than 1, and they are infinite on (∞) and (0∞). H...
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We propose statistical tests to discriminate between the finite and infinite activity of jumps in a semimartingale discretely observed at high frequency. The two statistics allow for a symmetric treatment of the problem: we can either take the null hypothesis to be finite activity, or infinite activity. When implemented on high-frequency stock returns, both tests point toward the presence of in...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 2011
ISSN: 0090-5364
DOI: 10.1214/11-aos873