Activity signature functions for high-frequency data analysis
Journal Article (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