Articlegreen2009

Estimating the degree of activity of jumps in high frequency data

288 citations0/0 files storedThe Annals of Statistics

No readable copy stored yet — this record is metadata only.

Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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.

Citations in this library

Stored only when both papers are in the corpus — 288 citations exist upstream.

References

2009Testing for jumps in a discretely observed process

Cited by

2010Volatility Jumps 2014Fact or friction: Jumps at ultra high frequency 2011Jumps and Information Flow in Financial Markets 2012Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data 2009Jumps and betas: A new framework for disentangling and estimating systematic risks 2011Testing for jumps in noisy high frequency data 2010Detecting jumps from Lévy jump diffusion processes☆2015Large-Dimensional Factor Modeling Based on High-Frequency Observations

Imported from OpenAlex (CC0) — nothing here is generated.