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Estimating the Jump Activity Index Under Noisy Observations Using High-Frequency Data

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  • Jing, Bing-Yi
  • Kong, Xin-Bing
  • Liu, Zhi

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  • Jing, Bing-Yi & Kong, Xin-Bing & Liu, Zhi, 2011. "Estimating the Jump Activity Index Under Noisy Observations Using High-Frequency Data," Journal of the American Statistical Association, American Statistical Association, vol. 106(494), pages 558-568.
  • Handle: RePEc:bes:jnlasa:v:106:i:494:y:2011:p:558-568
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    File URL: http://pubs.amstat.org/doi/abs/10.1198/jasa.2011.tm10021
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    Cited by:

    1. Hounyo, Ulrich & Varneskov, Rasmus T., 2017. "A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation," Journal of Econometrics, Elsevier, vol. 198(1), pages 10-28.
    2. Yu, Chao & Fang, Yue & Zhao, Xujie & Zhang, Bo, 2013. "Kernel filtering of spot volatility in presence of Lévy jumps and market microstructure noise," MPRA Paper 63293, University Library of Munich, Germany, revised 10 Mar 2014.
    3. Julien Chevallier & Benoît Sévi, 2014. "On the Stochastic Properties of Carbon Futures Prices," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 58(1), pages 127-153, May.
    4. Torben G. Andersen & Nicola Fusari & Viktor Todorov & Rasmus T. Varneskov, 1001. "Option Panels in Pure-Jump Settings," CREATES Research Papers 2018-04, Department of Economics and Business Economics, Aarhus University.
    5. Adam D. Bull, 2014. "Near-optimal estimation of jump activity in semimartingales," Papers 1409.8150, arXiv.org, revised Jan 2016.

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