Limit Theorems for Power Variations of Pure-Jump Processes with Application to Activity Estimation-Reference-Cited by-同舟云学术

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Limit Theorems for Power Variations of Pure-Jump Processes with Application to Activity Estimation

Published:2010 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Todorov Viktor,Tauchen George E.

Publisher

Elsevier BV

Reference31 articles.

1. Estimating the Degree of Activity of Jumps in High Frequency Financial Data;Y Ait-Sahalia;Annals of Statistics,2009

2. Testing for Jumps in a Discretely Observed Process;Y Ait-Sahalia;Annals of Statistics,2009

3. Maximum Likelihood Estimation for Alpha Stable Autoregressive Processes;B Andrews;Annals of Statistics,2009

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. On the jump activity index for semimartingales;Journal of Econometrics;2012-02

2. On simulation of tempered stable random variates;Journal of Computational and Applied Mathematics;2011-02

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