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 | |
| 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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