Jumps Activity and Singularity Spectra for Instruments in the Polish Financial Market
Journal Title: Dynamic Econometric Models - Year 2011, Vol 11, Issue 1
Abstract
In the paper we try to measure the activity of jumps in returns of some instruments from the Polish financial market. We use Blumenthal-Getoor index β for Lévy processes as a measure of jumps’ activity. This allows us to distinguish between processes with rare and sharp jumps and the processes with infinitely-active jump component. We use three different methods. First we use activity signature plots to estimate the activity patterns of jumps. Then we estimate the Blumenthal-Getoor index with Aït-Sahalia and Jacod threshold estimator.Then we use methods based on singularity spectra of Lévy processes. Finally, we compare the results.
Authors and Affiliations
Paweł Kliber
Keywords
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- EP ID EP92391
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