Activity signature functions for high-frequency data analysis

Journal of Econometrics

Volumn 154, Issue 2, 2010, Pages 125-138

  Todorov, Viktor ^a   Tauchen, George ^b  

^a NORTHWESTERN UNIVERSITY   (United States)

^b DUKE UNIVERSITY   (United States)

Author keywords

Activity index; Blumenthal Getoor index; Jumps; L vy process; Realized power variation

Indexed keywords

ACTIVITY INDEX; ACTIVITY LEVELS; ASYMPTOTIC PROPERTIES; BLUMENTHAL-GETOOR INDEX; CONTINUOUS TIME; EXCHANGE RATES; HIGH FREQUENCY DATA; INTERNET TRAFFIC; JUMP DIFFUSION MODELS; JUMPS; NEW CONCEPT; REALIZED POWER VARIATION; SAMPLING FREQUENCIES; SIGNATURE FUNCTION;

NASA;

EID: 70350006659     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2009.06.009     Document Type: Article

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