Search Results - subject:"Blumenthal–Getoor index"

Jumps Activity and Singularity Spectra for Instruments in the Polish Financial Market

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 …

Persistent link: https://www.econbiz.de/10010610421

Activity Signature Functions for High-Frequency Data Analysis

Tauchen, George; Todorov, Viktor - Duke University, Department of Economics - 2010

We define a new concept termed the activity signature function, which is constructed from discrete observations of a process evolving continuously in time. Under quite general regularity conditions, we derive the asymptotic properties of the function as the sampling frequency increases and show...

Persistent link: https://www.econbiz.de/10008549026

Volatility Jumps

Todorov, Viktor; Tauchen, George - Duke University, Department of Economics - 2010

The paper undertakes a non-parametric analysis of the very high frequency movements in stock market volatility using very finely sampled data on the S&P VIX index compiled by the CBOE. The data suggest that stock market volatility is best described as a pure jump process without a continuous...

Persistent link: https://www.econbiz.de/10008549052

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

Todorov, Viktor; Tauchen, George - Duke University, Department of Economics - 2010

This paper derives the asymptotic behavior of realized power variation of pure-jump It^o 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...

Persistent link: https://www.econbiz.de/10008764949

Spectral estimation of the fractional order of a Lévy process

Belomestny, Denis - 2009

We consider the problem of estimating the fractional order of a Lévy process from low frequency historical and options data. An estimation methodology is developed which allows us to treat both estimation and calibration problems in a unified way. The corresponding procedure consists of two...

Persistent link: https://www.econbiz.de/10010263764

Spectral estimation of the fractional order of a Lévy process

Belomestny, Denis - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009

, Blumenthal-Getoor index, semiparametric estimation JEL CLASSIFICATION: C12, C13 1 Introduction Nowadays L´evy processes are … order or the Blumenthal-Getoor index of the L´evy process Xt. This index α is related to the“degree of activity”of jumps … frequent the small jumps become (see A¨ıt-Sahalia and Jacod (2009) for more discussion). The Blumenthal-Getoor index is closely …

Persistent link: https://www.econbiz.de/10005652794