A Local Stable Bootstrap for Power Variations of Pure-Jump Semimartingales and Activity Index Estimation

Ulrich Hounyo () and Rasmus T. Varneskov ()
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Ulrich Hounyo: Oxford-Man Institute, University of Oxford, and Aarhus University and CREATES, Postal: Department of Economics and Business Economics, Fuglesangs Allé 4, 8210 Aarhus V, Denmark
Rasmus T. Varneskov: Aarhus University and CREATES, Postal: Department of Economics and Business Economics, Fuglesangs Allé 4, 8210 Aarhus V, Denmark

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: 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, ß, 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: ß=2 against the alternative H1: ß

Keywords: Activity index; Bootstrap; Blumenthal-Getoor index; Confidence Intervals; Highfrequency Data; Hypothesis Testing; Realized Power Variation; Stable Processes (search for similar items in EconPapers)
JEL-codes: C12 C14 C15 G1 (search for similar items in EconPapers)
Pages: 41
Date: 2015-05-27
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
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