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.
Original language | English (US) |
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Pages (from-to) | 2202-2244 |
Number of pages | 43 |
Journal | Annals of Statistics |
Volume | 37 |
Issue number | 5 A |
DOIs | |
State | Published - Oct 2009 |
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Statistics, Probability and Uncertainty
Keywords
- Discrete sampling
- High frequency
- Index of activity
- Infinite activity
- Jumps