Near-optimal estimation of jump activity in semimartingales
Change log
Authors
Bull, Adam D
Abstract
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.
Description
Keywords
math.ST, math.ST, q-fin.ST, stat.TH
Journal Title
Annals of Statistics
Conference Name
Journal ISSN
0090-5364
Volume Title
44
Publisher
Institute of Mathematical Statistics
Publisher DOI
Sponsorship
Engineering and Physical Sciences Research Council (EP/K000993/1)
The author acknowledges the EPSRC for their support under grant EP/K000993/1.