Activity signature functions for high-frequency data analysis

Published

Journal Article

We define a new concept termed activity signature function, which is constructed from discrete observations of a continuous-time process, and derive its asymptotic properties as the sampling frequency increases. We show that the function is a useful device for estimating the activity level of the underlying process and in particular for deciding whether the process contains a continuous martingale. An application to $ /D M exchange rate over 1986-1999 indicates that a jump-diffusion model is more plausible than a pure-jump model. A second application to internet traffic at NASA servers shows that an infinite variation pure-jump model is appropriate for its modeling. © 2009 Elsevier B.V. All rights reserved.

Full Text

Duke Authors

Cited Authors

  • Todorov, V; Tauchen, G

Published Date

  • February 1, 2010

Published In

Volume / Issue

  • 154 / 2

Start / End Page

  • 125 - 138

International Standard Serial Number (ISSN)

  • 0304-4076

Digital Object Identifier (DOI)

  • 10.1016/j.jeconom.2009.06.009

Citation Source

  • Scopus