Limit Theorems for Power Variations of Pure-Jump Processes with Application to Activity Estimation

This paper derives the asymptotic behavior of realized power variation of pure-jump Ito semimartingales as the sampling frequency within a fixed interval increases to infinity. We prove convergence in probability and an associated central limit theorem for the realized power variation as a function of its power. We apply the limit theorems to propose an efficient adaptive estimator for the activity of discretely-sampled Ito semimartingale over a fixed interval

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Year of publication:	2010
Authors:	Todorov, Viktor
Other Persons:	Tauchen, George Eugene (contributor)
Publisher:	[2010]: [S.l.] : SSRN
Subject:	Schätztheorie \| Estimation theory

Extent:	1 Online-Ressource (36 p)
Series:	Economic Research Initiatives at Duke (ERID) Working Paper ; No. 74
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 18, 2010 erstellt
Other identifiers:	10.2139/ssrn.1687968 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013137411