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ArticleOn the jump activity index for semimartingales

Bing‐Yi Jing2011

Article2011

On the jump activity index for semimartingales

Bing‐Yi Jing · Xinbing Kong · Zhi Liu · Per A. Mykland

77 citations·0/0 files stored·Journal of Econometrics

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

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References

2003Limit Theorems for Stochastic Processes 2004Power and Bipower Variation with Stochastic Volatility and Jumps 2002The Fine Structure of Asset Returns: An Empirical Investigation 2005Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation 2007Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics 2009Testing for jumps in a discretely observed process 2004Disentangling diffusion from jumps 2007Asymptotic properties of realized power variations and related functionals of semimartingales

Cited by

2015Testing for pure-jump processes for high-frequency data 2015Jump activity estimation for pure-jump semimartingales via self-normalized statistics 2017Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variance 2017Testing for mutually exciting jumps and financial flights in high frequency data 2018Testing for self-excitation in jumps 2018On the systematic and idiosyncratic volatility with large panel high-frequency data

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2015Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility predictionarticle · 9 shared references 2012Modeling high-frequency financial data by pure jump processespreprint · 9 shared references 2012Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Dataarticle · 8 shared references 2010Realised quantile-based estimation of the integrated variancearticle · 8 shared references 2011Nonparametric tests for pathwise properties of semimartingalesarticle · 8 shared references 2012Modeling high-frequency financial data by pure jump processesarticle · 8 shared references

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Year2011

Typearticle

Published2011-09-29

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations77

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jeconom.2011.09.036

openalex_workW2052274123

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