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Activity Number: 509
Type: Invited
Date/Time: Wednesday, August 12, 2015 : 10:30 AM to 12:20 PM
Sponsor: IMS
Abstract #314643
Title: Estimating the Degree of Activity of Jumps of a Discretely Observed Semimartingale
Author(s):
Companies:
Keywords: high frequency data ; big data ; finance ; semimartingales ; jumps
Abstract:

We consider an Itô semimartingale which is observed along a discrete and regularly spaced time grid, within a fixed time interval. Our aim is to revisit the estimation of the degree of activity (also called Blumenthal-Getoor index) of the jumps of the process. This index ranges through [0, 2], and if the jumps of the process are those of a stable process it coincides with the stability index.

Several methods for estimating this index have been proposed in the recent years, and the aim of this talk is to shortly review the existing literature and to propose a novel method, which is more efficient (in the sense that the rate of convergence is faster, as the mesh of the observation grid goes to 0). Most of this talk is a presentation of a joint work with Viktor Todorov, from Northwestern University.


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