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Abstract: We define a generalized index of jump activity, propose estimators of thatindex for a discretely sampled process and derive the estimators- properties.These estimators are applicable despite the presence of Brownian volatility inthe process, which makes it more challenging to infer the characteristics ofthe small, infinite activity jumps. When the method is applied to highfrequency stock returns, we find evidence of infinitely active jumps in thedata and estimate their index of activity.



Author: Yacine Aït-Sahalia, Jean Jacod

Source: https://arxiv.org/







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