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标题:Estimating the Degree of Activity of Jumps in High Frequency Data
时间:2019-02-11 23:29:31
作者:Yacine Aït-Sahalia;Jean Jacod
出版源: 《Annals of Statistics》 ,2009 ,37 (5A) :2202-2244
摘要:Estimating the Degree of Activity of Jumps in High Frequency DataPrimary 62F12Primary 62M05Secondary 60H10Secondary 60J60Jumpsindex of activityinfinite activitydiscrete samplinghigh frequencyWe 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...
大小:630 kb
页数:39 PAGES
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