Semimartingale: Itô or not ?

Yacine Aït-Sahalia; Jean Jacod

doi:10.1016/j.spa.2017.04.006

Semimartingale: Itô or not ?

Yacine Aït-Sahalia, Jean Jacod

Research output: Contribution to journal › Article › peer-review

5 Scopus citations

Abstract

Itô semimartingales are the semimartingales whose characteristics are absolutely continuous with respect to Lebesgue measure. We study the importance of this assumption for statistical inference on a discretely sampled semimartingale in terms of the identifiability of its characteristics, their estimation, and propose tests of the Itô property against the non-Itô alternative when the observed semimartingale is continuous, or discontinuous with finite activity jumps, and under a number of technical assumptions.

Original language	English (US)
Pages (from-to)	233-254
Number of pages	22
Journal	Stochastic Processes and their Applications
Volume	128
Issue number	1
DOIs	https://doi.org/10.1016/j.spa.2017.04.006
State	Published - Jan 2018

All Science Journal Classification (ASJC) codes

Statistics and Probability
Modeling and Simulation
Applied Mathematics

Keywords

Absolute continuity
Cantor set
Discrete sampling
High frequency
Itô
Semimartingale

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10.1016/j.spa.2017.04.006

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title = "Semimartingale: It{\^o} or not ?",

abstract = "It{\^o} semimartingales are the semimartingales whose characteristics are absolutely continuous with respect to Lebesgue measure. We study the importance of this assumption for statistical inference on a discretely sampled semimartingale in terms of the identifiability of its characteristics, their estimation, and propose tests of the It{\^o} property against the non-It{\^o} alternative when the observed semimartingale is continuous, or discontinuous with finite activity jumps, and under a number of technical assumptions.",

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T2 - Itô or not ?

AU - Aït-Sahalia, Yacine

AU - Jacod, Jean

PY - 2018/1

Y1 - 2018/1

N2 - Itô semimartingales are the semimartingales whose characteristics are absolutely continuous with respect to Lebesgue measure. We study the importance of this assumption for statistical inference on a discretely sampled semimartingale in terms of the identifiability of its characteristics, their estimation, and propose tests of the Itô property against the non-Itô alternative when the observed semimartingale is continuous, or discontinuous with finite activity jumps, and under a number of technical assumptions.

AB - Itô semimartingales are the semimartingales whose characteristics are absolutely continuous with respect to Lebesgue measure. We study the importance of this assumption for statistical inference on a discretely sampled semimartingale in terms of the identifiability of its characteristics, their estimation, and propose tests of the Itô property against the non-Itô alternative when the observed semimartingale is continuous, or discontinuous with finite activity jumps, and under a number of technical assumptions.

KW - Absolute continuity

KW - Cantor set

KW - Discrete sampling

KW - High frequency

KW - Itô

KW - Semimartingale

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SP - 233

EP - 254

JO - Stochastic Processes and their Applications

JF - Stochastic Processes and their Applications

IS - 1

ER -

Semimartingale: Itô or not ?

Abstract

All Science Journal Classification (ASJC) codes

Keywords

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