کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10527220 | 958741 | 2013 | 22 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Power variation from second order differences for pure jump semimartingales
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
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چکیده انگلیسی
We introduce power variation constructed from powers of the second-order differences of a discretely observed pure-jump semimartingale processes. We derive the asymptotic behavior of the statistic in the setting of high-frequency observations of the underlying process with a fixed time span. Unlike the standard power variation (formed from the first-order differences of the process), the limit of our proposed statistic is determined solely by the jump component of the process regardless of the activity of the latter. We further show that an associated Central Limit Theorem holds for a wider range of activity of the jump process than for the standard power variation. We apply these results for estimation of the jump activity as well as the integrated stochastic scale.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 123, Issue 7, July 2013, Pages 2829-2850
Journal: Stochastic Processes and their Applications - Volume 123, Issue 7, July 2013, Pages 2829-2850
نویسندگان
Viktor Todorov,