On The Jump Activity Index for Semimartingales

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	On The Jump Activity Index for Semimartingales
	Bing-Yi Jing ; Xin-Bing Kong ; Zhi Liu ; Per Mykl
刊名	http://www.wise.xmu.edu.cn/paperInfor.asp?id=229
	2013-11-08
关键词	Semimartingale Power variation High frequency Jump activity index Stable convergence
英文摘要	Empirical evidence of asset price discontinuities or “jumps” in financial markets has been well documented in the literature. Recently, Ait-Sahalia and Jacod (2009b) defined a general “jump activity index” to describe the degree of jump activities for asset price semimartingales, and provided a consistent estimator when the underlying process contains both a continuous and a jump component. However, only large increments were used in their estimator so that the effective sample size is very small even for large sample sizes. In this paper, we explore ways to improve the Ait-Sahalia and Jacod’s estimator by making use of all increments, large and small. The improvement is verified through simulations. A real example is also given. ; This paper is accepted by Journal of Econometrics.
语种	中文
内容类型	期刊论文
源URL	[http://dspace.xmu.edu.cn/handle/2288/56963]
专题	王亚南院－已发表论文
推荐引用方式 GB/T 7714	Bing-Yi Jing,Xin-Bing Kong,Zhi Liu,et al. On The Jump Activity Index for Semimartingales[J]. http://www.wise.xmu.edu.cn/paperInfor.asp?id=229,2013.
APA	Bing-Yi Jing,Xin-Bing Kong,Zhi Liu,&Per Mykl.(2013).On The Jump Activity Index for Semimartingales.http://www.wise.xmu.edu.cn/paperInfor.asp?id=229.
MLA	Bing-Yi Jing,et al."On The Jump Activity Index for Semimartingales".http://www.wise.xmu.edu.cn/paperInfor.asp?id=229 (2013).