Seminars 2008 — Abstracts
Tuesday, December 16
Speaker:
Yacine Ait-Sahalia,
Princeton
Title:
Jump Activity in High Frequency Financial Data
Abstract: We propose statistical tests to discriminate between the finite and infinite
activity of jumps in a semimartingale discretely observed at high frequency.
The two statistics allow for a symmetric treatment of the problem: we can either
take the null hypothesis to be finite activity, or infinite activity. When implemented
on high frequency stock returns, both tests point towards the presence of infinite
activity jumps in the data. We then define a degree of activity for infinitely
active jump processes, and propose estimators of that degree of activity.
