Trading-flow assisted estimation of the jump activity index  

作　　者：Xinbing Kong Guangying Liu Shangyu Xie 

机构地区：[1]School of Statistics and Mathematics,Nanjing Audit University,Nanjing 211815,China [2]School of Banking and Finance,University of International Business and Economics,Beijing 100029,China

出　　处：《Science China Mathematics》2020年第11期2363-2378,共16页中国科学：数学（英文版）

基　　金：supported by National Natural Science Foundation of China(Grant Nos.11201080 and 11571250);Priority Academic Program Development of Jiangsu Higher Education Institutions;supported by National Natural Science Foundation of China(Grant No.11501503);Qinglan Project of Jiangsu Province,National Science Foundation of Jiangsu Province of China(Grant No.BK20181417);Jiangsu Province College Science Key Foundation(Grant No.17KJA110001);supported by National Natural Science Foundation of China(Grant No.71874028);State Key Programme of National Natural Science Foundation of China(Grant No.71331006);the Fundamental Research Funds for the Central Universities in University of International Business and Economics(Grant No.16YQ05)。

摘　　要：Existing estimators for the jump activity index only made use of the price dynamics of assets.In this study,we incorporate trading information and propose a trading-flow-adjusted(TA)estimator for the jump activity index for pure-jump Ito semimartingales observed at high frequencies.We derive the central limit theorem of the estimator and perform simulation studies that justify the theory.The new estimator is shown to be more efficient in terms of the convergence rate as compared with the existing estimators,which use only the price information under some realistic conditions.Empirical analysis shows estimates with lower standard errors than those that do not incorporate the trading information.

关 键 词：jump activity index pure-jump Ito semimartingale trading volume power variation 

分 类 号：F830.9[经济管理—金融学] O212.1[理学—概率论与数理统计]