[英文文献] A Local Stable Bootstrap for Power Variations of Pure-Jump Semimartingales ... [推广有奖]

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年度财务报告898 发表于 2004-11-30 08:51:27 |AI写论文

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英文文献：A Local Stable Bootstrap for Power Variations of Pure-Jump Semimartingales and Activity Index Estimation
英文文献作者：Ulrich Hounyo,Rasmus T. Varneskov
英文文献摘要：
We provide a new resampling procedure - the local stable bootstrap - that is able to mimic the dependence properties of realized power variations for pure-jump semimartingales observed at different frequencies. This allows us to propose a bootstrap estimator and inference procedure for the activity index of the underlying process, ?, as well as a bootstrap test for whether it obeys a jump-diffusion or a pure-jump process, that is, of the null hypothesis H0: ?=2 against the alternative H1: ?