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Search: subject:"Jump activity index"
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Ito semimartingale
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asymptotic behavior
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jump activity index
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test statistic
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Mancini, Cecilia
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Drift burst test statistic in the presence of infinite variation jumps
Mancini, Cecilia
-
2022
Persistent link: https://www.econbiz.de/10013535744
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2
Jumps or staleness?
Kolokolov, Aleksey
;
Renò, Roberto
- In:
Journal of business & economic statistics : JBES ; a …
42
(
2024
)
2
,
pp. 516-532
Persistent link: https://www.econbiz.de/10015053424
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3
Drift burst test statistic in a pure jump semimartingale model
Mancini, Cecilia
-
2021
Persistent link: https://www.econbiz.de/10013347728
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4
On the
jump
activity
index
for semimartingales
Jing, Bing-Yi
;
Kong, Xin-Bing
;
Liu, Zhi
;
Mykland, Per
- In:
Journal of Econometrics
166
(
2012
)
2
,
pp. 213-223
literature. Recently, Aït-Sahalia and Jacod (2009b) defined a general “
jump
activity
index
” to describe the degree of jump …
Persistent link: https://www.econbiz.de/10011052294
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