Kliber, Pawel - In: Dynamic Econometric Models 11 (2011), pp. 171-184
. We use Blumenthal-Getoor index ? for Lévy processes as a measure of jumps’ activity. This allows us to distinguish … methods. First we use activity signature plots to estimate the activity patterns of jumps. Then we estimate the Blumenthal-Getoor … index with A?t-Sahalia and Jacod threshold estimator.Then we use methods based on singularity spectra of Lévy processes …