Jumps Activity and Singularity Spectra for Instruments in the Polish Financial Market

Pawel Kliber ()

Dynamic Econometric Models, 2011, vol. 11, 171-184

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 ? 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 A?t-Sahalia and Jacod threshold estimator.Then we use methods based on singularity spectra of Lévy processes. Finally, we compare the results.

Keywords: Blumenthal-Getoor index; singularity spectrum; Lévy exponential models. (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:cpn:umkdem:v:11:y:2011:p:171-184

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