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ArticleActivity signature functions for high-frequency data analysis

Viktor Todorov2009

Article2009

Activity signature functions for high-frequency data analysis

Viktor Todorov · George E. Tauchen

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

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Complex Systems and Time Series Analysis

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References

1999Continuous Martingales and Brownian Motion 2003Financial Modelling with Jump Processes 2003Limit Theorems for Stochastic Processes 2004Power and Bipower Variation with Stochastic Volatility and Jumps 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics 1998The Variance Gamma Process and Option Pricing 2002The Fine Structure of Asset Returns: An Empirical Investigation 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data

Cited by

2008Testing whether jumps have finite or infinite activity 2010Limit theorems for moving averages of discretized processes plus noise 2011Nonparametric tests for pathwise properties of semimartingales 2015Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction 2011Testing whether jumps have finite or infinite activity 2011On the jump activity index for semimartingales

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2012Modeling high-frequency financial data by pure jump processespreprint · 19 shared references 2012Modeling high-frequency financial data by pure jump processesarticle · 16 shared references 2011Limit theorems for power variations of pure-jump processes with application to activity estimationarticle · 14 shared references 2011Asymptotic results for time-changed Lévy processes sampled at hitting timesarticle · 14 shared references 2008Estimation of continuous-time stochastic volatility models with jumps using high-frequency dataarticle · 13 shared references 2015Testing for pure-jump processes for high-frequency dataarticle · 12 shared references

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Year2009

Typearticle

Published2009-07-29

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations99

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jeconom.2009.06.009

openalex_workW3123600920

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2012The Realized Laplace Transform of Volatility

2012Modeling high-frequency financial data by pure jump processes