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Activity signature functions for high-frequency data analysis - MaRDI portal

Activity signature functions for high-frequency data analysis (Q2630154)

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Activity signature functions for high-frequency data analysis
scientific article

    Statements

    title
    Activity signature functions for high-frequency data analysis (English)
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    author
    Viktor Todorov
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    George Tauchen
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    publication date
    25 July 2016
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    zbMATH Keywords
    activity index
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    Blumenthal-Getoor index
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    jumps
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    Lévy process
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    realized power variation
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    cites work
    Q5493536
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    Q3276933
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    Q2734966
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    Q4856610
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    Q4226355
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    Identifiers

    Mathematics Subject Classification ID
    62P05
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    60G51
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    60J76
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    zbMATH DE Number
    6606006
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    OpenAlex ID
    W3123600920
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