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Testing for pure-jump processes for high-frequency data

Testing for pure-jump processes for high-frequency data

Xinbing Kong
Zhi Liu
Bing-Yi Jing
ArXiv (abs)PDFHTML

Papers citing "Testing for pure-jump processes for high-frequency data"

4 / 4 papers shown
Title
Efficient estimation of integrated volatility in presence of infinite variation jumps
Efficient estimation of integrated volatility in presence of infinite variation jumps
J. Jacod
Viktor Todorov
87
76
0
29 May 2014
Modeling high-frequency financial data by pure jump processes
Modeling high-frequency financial data by pure jump processes
Bing-Yi Jing
Xinbing Kong
Zhi Liu
76
66
0
05 Jun 2012
Is Brownian motion necessary to model high-frequency data?
Is Brownian motion necessary to model high-frequency data?
Yacine Ait-Sahalia
J. Jacod
103
114
0
11 Nov 2010
Estimating the degree of activity of jumps in high frequency data
Estimating the degree of activity of jumps in high frequency data
Yacine Ait-Sahalia
J. Jacod
103
263
0
21 Aug 2009

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