Activity signature functions for high-frequency data analysis

Viktor Todorov and George Tauchen ()

Journal of Econometrics, 2010, vol. 154, issue 2, 125-138

Abstract: 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 $ /DM 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.

Keywords: Activity; index; Blumenthal-Getoor; index; Jumps; Levy; process; Realized; power; variation (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (37)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:154:y:2010:i:2:p:125-138

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