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• W3036998411 abstract "Realized multipower variation, originally introduced to eliminate jumps, can be extremely useful for inference in pure-jump models. This article shows how to build a simple and precise estimator of the jump activity index of a semimartingale observed at a high frequency by comparing different multipowers. The novel methodology allows to infer whether a discretely observed process contains a continuous martingale component. The empirical part of the article undertakes a nonparametric analysis of the jump activity of bitcoin and shows that bitcoin is a pure jump process with high jump activity, which is critically different from conventional currencies that include a Brownian motion component." @default.
• W3036998411 created "2020-07-02" @default.
• W3036998411 creator A5023768085 @default.
• W3036998411 date "2020-07-28" @default.
• W3036998411 modified "2023-09-30" @default.
• W3036998411 title "Estimating Jump Activity Using Multipower Variation" @default.
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• W3036998411 doi "https://doi.org/10.1080/07350015.2020.1784745" @default.
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