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dc.contributor.authorBull, Adamen
dc.date.accessioned2015-07-15T10:55:13Z
dc.date.available2015-07-15T10:55:13Z
dc.date.issued2015-07-15en
dc.identifier.issn0090-5364
dc.identifier.urihttps://www.repository.cam.ac.uk/handle/1810/248968
dc.description.abstractIn 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.
dc.description.sponsorshipThe author acknowledges the EPSRC for their support under grant EP/K000993/1.
dc.languageEnglishen
dc.language.isoenen
dc.publisherInstitute of Mathematical Statistics
dc.rightsAttribution-NonCommercial 2.0 UK: England & Wales*
dc.rights.urihttp://creativecommons.org/licenses/by-nc/2.0/uk/*
dc.titleNear-optimal estimation of jump activity in semimartingalesen
dc.typeArticle
dc.description.versionThis is the final version of the article. It was first available from Institute of Mathematical Statistics via http://dx.doi.org/10.1214/15-AOS1349en
prism.endingPage86
prism.publicationDate2015en
prism.publicationNameThe Annals of Statisticsen
prism.startingPage58
prism.volume44en
dc.rioxxterms.funderEPSRC
dc.rioxxterms.projectidEP/K000993/1
rioxxterms.versionofrecord10.1214/15-AOS1349en
rioxxterms.licenseref.urihttp://www.rioxx.net/licenses/all-rights-reserveden
rioxxterms.licenseref.startdate2015-07-15en
rioxxterms.typeJournal Article/Reviewen
pubs.funder-project-idEPSRC (EP/K000993/1)


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Attribution-NonCommercial 2.0 UK: England & Wales
Except where otherwise noted, this item's licence is described as Attribution-NonCommercial 2.0 UK: England & Wales