Drift burst test statistic in the presence of infinite variation jumps

DOI10.1016/J.SPA.2023.06.010OpenAlexW4381742913MaRDI QIDQ6171672

Cecilia Mancini

Publication date: 14 August 2023

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2023.06.010

zbMATH Keywords

asymptotic behaviortest statisticjump activity indexinfinite variation jumpsIto semimartingale

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Characteristic functions; other transforms (60E10) Generalizations of martingales (60G48) Stable stochastic processes (60G52)

Cites Work

• Unnamed Item
• Unnamed Item
• Discretization of processes.
• Estimating the degree of activity of jumps in high frequency data
• The drift burst hypothesis
• Spot volatility estimation using delta sequences
• Financial Modelling with Jump Processes
• Estimating functions for diffusion-type processes

This page was built for publication: Drift burst test statistic in the presence of infinite variation jumps