Empirical evidence of asset price discontinuities or “jumps” in financial markets has been well documented in the literature. Recently, Aït-Sahalia and Jacod (2009b) defined a general “jump activity index” to describe the degree of jump activities for asset price semimartingales, and...

For n equidistant observations of a Lévy process at time distance Δn we consider the problem of testing hypotheses on the volatility, the jump measure and its Blumenthal–Getoor index in a non- or semiparametric manner. Asymptotically as n→∞ we allow for both, the high-frequency regime...

In this paper, we prove a kind of Abelian theorem for a class of stochastic volatility models (X,V) where both the state process X and the volatility process V may have jumps. Our results relate the asymptotic behavior of the characteristic function of XΔ for some Δ0 in a stationary regime to...

Let (Xt)t⩾0 be a Feller process generated by a pseudo-differential operator whose symbol satisfies ‖p(⋅,ξ)‖∞⩽c(1+|ξ|2) and p(⋅,0)≡0. We prove that, for a large class of examples, the Hausdorff dimension of the set {Xt:t∈E} for any analytic set E⊂[0,∞) is almost surely...

We analyze the high-frequency dynamics of S&P 500 equity-index option prices by constructing an assortment of implied volatility measures. This allows us to infer the underlying fine structure behind the innovations in the latent state variables driving the movements of the volatility surface....

This paper presents the study of a structure composed of a wind turbine, a speed multiplier and an asynchronous generator coupled to the infinite power network through a line of energy transfer electric modelled by an R–L circuit. After modelling of the global system, the behaviour of the...