Modeling high-frequency financial data by pure jump processes

DOI10.1214/12-AOS977zbMath1273.62195arXiv1206.0827OpenAlexW3104978619MaRDI QIDQ447825

Zhi Liu, Xin-Bing Kong, Bing-Yi Jing

Publication date: 29 August 2012

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1206.0827

zbMATH Keywords

diffusionhypothesis testinghigh-frequency datasemi-martingalespure jump process

Mathematics Subject Classification ID

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