Confidence interval of the jump activity index based on empirical likelihood using high frequency data

DOI10.1016/j.jspi.2011.12.016zbMath1244.62150OpenAlexW1968283744MaRDI QIDQ434532

Xin-Bing Kong

Publication date: 16 July 2012

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2011.12.016

zbMATH Keywords

Lévy measurepure jump process

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09) Nonparametric tolerance and confidence regions (62G15)

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Cites Work

• Estimating the degree of activity of jumps in high frequency data
• Volatility estimators for discretely sampled Lévy processes
• Testing for jumps in a discretely observed process
• Nonparametric inference of discretely sampled stable Lévy processes
• Activity signature functions for high-frequency data analysis
• Estimating the Jump Activity Index Under Noisy Observations Using High-Frequency Data
• Empirical likelihood ratio confidence intervals for a single functional
• Power Variation and Time Change