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A Local Stable Bootstrap for Power Variations of Pure-Jump Semimartingales and Activity Index Estimation

Author

Listed:
  • Ulrich Hounyo

    (Oxford-Man Institute, University of Oxford, and Aarhus University and CREATES)

  • Rasmus T. Varneskov

    (Aarhus University and CREATES)

Abstract

We provide a new resampling procedure - the local stable bootstrap - that is able to mimic the dependence properties of realized power variations for pure-jump semimartingales observed at different frequencies. This allows us to propose a bootstrap estimator and inference procedure for the activity index of the underlying process, ß, as well as a bootstrap test for whether it obeys a jump-diffusion or a pure-jump process, that is, of the null hypothesis H0: ß=2 against the alternative H1: ß

Suggested Citation

  • Ulrich Hounyo & Rasmus T. Varneskov, 2015. "A Local Stable Bootstrap for Power Variations of Pure-Jump Semimartingales and Activity Index Estimation," CREATES Research Papers 2015-26, Department of Economics and Business Economics, Aarhus University.
    • Handle: RePEc:aah:create:2015-26
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    References listed on IDEAS

    as
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    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • G1 - Financial Economics - - General Financial Markets

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