Near-optimal estimation of jump activity in semimartingales
The Annals of Statistics
Institute of Mathematical Statistics
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Bull, A. (2015). Near-optimal estimation of jump activity in semimartingales. The Annals of Statistics, 44 58-86. https://doi.org/10.1214/15-AOS1349
In quantitative finance, we often model asset prices as semimartingales, with drift, diffusion and jump components. The jump activity index measures the strength of the jumps at high frequencies, and is of interest both in model selection and fitting, and in volatility estimation. In this paper, we give a novel estimate of the jump activity, together with corresponding confidence intervals. Our estimate improves upon previous work, achieving near-optimal rates of convergence, and good finite-sample performance in Monte-Carlo experiments.
The author acknowledges the EPSRC for their support under grant EP/K000993/1.
External DOI: https://doi.org/10.1214/15-AOS1349
This record's URL: https://www.repository.cam.ac.uk/handle/1810/248968
Attribution-NonCommercial 2.0 UK: England & Wales
Licence URL: http://creativecommons.org/licenses/by-nc/2.0/uk/
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