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Semimartingale: Itô or not ?

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  • Aït-Sahalia, Yacine
  • Jacod, Jean

Abstract

Itô semimartingales are the semimartingales whose characteristics are absolutely continuous with respect to Lebesgue measure. We study the importance of this assumption for statistical inference on a discretely sampled semimartingale in terms of the identifiability of its characteristics, their estimation, and propose tests of the Itô property against the non-Itô alternative when the observed semimartingale is continuous, or discontinuous with finite activity jumps, and under a number of technical assumptions.

Suggested Citation

  • Aït-Sahalia, Yacine & Jacod, Jean, 2018. "Semimartingale: Itô or not ?," Stochastic Processes and their Applications, Elsevier, vol. 128(1), pages 233-254.
    • Handle: RePEc:eee:spapps:v:128:y:2018:i:1:p:233-254
    DOI: 10.1016/j.spa.2017.04.006
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    References listed on IDEAS

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    1. Yacine Aït-Sahalia & Jean Jacod, 2014. "High-Frequency Financial Econometrics," Economics Books, Princeton University Press, edition 1, number 10261.
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