Limit theorems for the empirical distribution function of scaled increments of Itô semimartingales at high frequencies

DOI10.1214/13-AAP965zbMath1429.62371arXiv1407.0518OpenAlexW3102930492MaRDI QIDQ744376

Viktor Todorov, George Tauchen

Publication date: 25 September 2014

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

Full work available at URL: https://arxiv.org/abs/1407.0518

zbMATH Keywords

jumpsstochastic volatilityhigh-frequency datastable processKolmogorov-Smirnov testItô semimartingale

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (11)

Trading-flow assisted estimation of the jump activity index ⋮ Variation-based tests for volatility misspecification ⋮ PELVE: probability equivalent level of VaR and ES ⋮ Testing against constant factor loading matrix with large panel high-frequency data ⋮ Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale ⋮ Nonparametric estimation of jump diffusion models ⋮ Jump activity estimation for pure-jump semimartingales via self-normalized statistics ⋮ Inference for local distributions at high sampling frequencies: a bootstrap approach ⋮ Testing for pure-jump processes for high-frequency data ⋮ The fine structure of equity-index option dynamics ⋮ The drift burst hypothesis

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