Limit Theorems for Power Variations of Pure-Jump Processes with Application to Activity Estimation
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- Jing, Bing-Yi & Kong, Xin-Bing & Liu, Zhi & Mykland, Per, 2012. "On the jump activity index for semimartingales," Journal of Econometrics, Elsevier, vol. 166(2), pages 213-223.
- repec:wyi:journl:002150 is not listed on IDEAS
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Keywords
Activity index; Blumenthal-Getoor index; Central Limit Theorem; It^o semimartingale; high-frequency data; jumps; realized power variation;All these keywords.
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