A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation

DOI10.1016/j.jeconom.2017.01.002zbMath1456.62171OpenAlexW2289185506MaRDI QIDQ2294509

Ulrich Hounyo, Rasmus T. Varneskov

Publication date: 11 February 2020

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://pure.au.dk/ws/files/137586312/Hounyo_2017_a_local_bootstrap_for_power_variations_of_pure_jump.pdf

zbMATH Keywords

bootstrapconfidence intervalshypothesis testingstable processeshigh-frequency dataBlumenthal-Getoor indexrealized power variationactivity index

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Nonparametric statistical resampling methods (62G09) Generalizations of martingales (60G48)

Related Items (5)

Bootstrapping Laplace transforms of volatility ⋮ A LOCAL GAUSSIAN BOOTSTRAP METHOD FOR REALIZED VOLATILITY AND REALIZED BETA ⋮ The local fractional bootstrap ⋮ Inference for local distributions at high sampling frequencies: a bootstrap approach ⋮ INFERENCE FOR OPTION PANELS IN PURE-JUMP SETTINGS

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