Is Brownian motion necessary to model high-frequency data?
Statistics Theory
2016-08-14 v1 Statistics Theory
Abstract
This paper considers the problem of testing for the presence of a continuous part in a semimartingale sampled at high frequency. We provide two tests, one where the null hypothesis is that a continuous component is present, the other where the continuous component is absent, and the model is then driven by a pure jump process. When applied to high-frequency individual stock data, both tests point toward the need to include a continuous component in the model.
Keywords
Cite
@article{arxiv.1011.2635,
title = {Is Brownian motion necessary to model high-frequency data?},
author = {Yacine Aït-Sahalia and Jean Jacod},
journal= {arXiv preprint arXiv:1011.2635},
year = {2016}
}
Comments
Published in at http://dx.doi.org/10.1214/09-AOS749 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org)