大阪大学　数理・データ科学教育研究センター
Center for Mathematical Modeling and Data Science,Osaka University

Estimating the degree of activity of jumps in high frequency financial data

Yacine Ait-Sahalia (Bendheim Center in Finance, Princeton University)

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大阪大学 金融・保険セミナーシリーズ 第17回

Estimating the degree of activity of jumps in high frequency financial data

Yacine Ait-Sahalia (Bendheim Center in Finance, Princeton University)

We propose estimators of the index of jump activity of a discretely sampled process, and derive their properties. These estimators are applicable despite the presence of Brownian volatility in the process, which makes it more challenging to learn about the small, infinite activity, jumps. When the method is applied to high frequency stock returns, we find evidence of infinitely active jumps in the data and estimate their index of activity.