Estimating the degree of activity of jumps in high frequency data

Preprint

21 August 2009

preprint
Published by arXiv in arXiv

https://doi.org/10.48550/arXiv.0908.3095

Abstract

We define a generalized index of jump activity, propose estimators of that index for a discretely sampled process and derive the estimators' properties. These estimators are applicable despite the presence of Brownian volatility in the process, which makes it more challenging to infer the characteristics of the small, infinite activity jumps. When the method is applied to high frequency stock returns, we find evidence of infinitely active jumps in the data and estimate their index of activity.

Keywords

INFINITE ACTIVITY JUMPS
GENERALIZED INDEX
INFINITELY ACTIVE
HIGH FREQUENCY
FREQUENCY DATA
ACTIVE JUMPS
VOLATILITY
ESTIMATORS
STOCK

All Related Versions

Version 1, 2009-08-21, ArXiv
Published version: The Annals of Statistics, 37 (5A), 2202.

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