| Autor: |
Theopold, Adrian, Vetter, Mathias |
| Rok vydání: |
2022 |
| Předmět: |
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| Druh dokumentu: |
Working Paper |
| Popis: |
We propose a nonparametric estimator of the jump activity index $\beta$ of a pure-jump semimartingale $X$ driven by a $\beta$-stable process when the underlying observations are coming from a high-frequency setting at irregular times. The proposed estimator is based on an empirical characteristic function using rescaled increments of $X$, with a limit which depends in a complicated way on $\beta$ and the distribution of the sampling scheme. Utilising an asymptotic expansion we derive a consistent estimator for $\beta$ and prove an associated central limit theorem. |
| Databáze: |
arXiv |
| Externí odkaz: |
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