Search Results - subject:"Blumenthal–Getoor index"

A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation

Hounyo, Ulrich; Varneskov, Rasmus Tangsgaard - In: Journal of econometrics 198 (2017) 1, pp. 10-28

Persistent link: https://www.econbiz.de/10011818366

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

A new look at short-term implied volatility in asset price models with jumps

Mijatović, Aleksandar; Tankov, Peter - In: Mathematical finance : an international journal of … 26 (2016) 1, pp. 149-183

Persistent link: https://www.econbiz.de/10011550267

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

Lower bounds of the Hausdorff dimension for the images of Feller processes

Knopova, V.; Schilling, R.L.; Wang, J. - In: Statistics & Probability Letters 97 (2015) C, pp. 222-228

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...

Persistent link: https://www.econbiz.de/10011189335

Testing the characteristics of a Lévy process

Reiß, Markus - In: Stochastic Processes and their Applications 123 (2013) 7, pp. 2808-2828

the volatility, the jump measure and its Blumenthal–Getoor index in a non- or semiparametric manner. Asymptotically as n …

Persistent link: https://www.econbiz.de/10011064996