Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5097081 | Journal of Econometrics | 2010 | 14 Pages |
Abstract
We define a new concept termed activity signature function, which is constructed from discrete observations of a continuous-time process, and derive its asymptotic properties as the sampling frequency increases. We show that the function is a useful device for estimating the activity level of the underlying process and in particular for deciding whether the process contains a continuous martingale. An application to $ /DM exchange rate over 1986-1999 indicates that a jump-diffusion model is more plausible than a pure-jump model. A second application to internet traffic at NASA servers shows that an infinite variation pure-jump model is appropriate for its modeling.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Viktor Todorov, George Tauchen,