On the jump activity index for semimartingales
Year of publication: |
2012
|
---|---|
Authors: | Jing, Bing-Yi ; Kong, Xin-Bing ; Liu, Zhi ; Mykland, Per |
Published in: |
Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 166.2012, 2, p. 213-223
|
Publisher: |
Elsevier |
Subject: | Semimartingale | Power variation | High frequency | Jump activity index | Stable convergence |
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