Trading-flow assisted estimation of the jump activity index

发布时间：2022-12-09 05:54

　　Existing estimators for the jump activity index only made use of the price dynamics of assets.In this study, we incorporate trading information and propose a trading-flow-adjusted（TA） estimator for the jump activity index for pure-jump It? semimartingales observed at high frequencies. We derive the central limit theorem of the estimator and perform simulation studies that justify the theory. The new estimator is shown to be more efficient in terms of the convergence rate as compared with the exi... 

【文章页数】：16 页


本文编号：3714964