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math.ST2015
Weak convergence of the empirical truncated distribution function of the Lévy measure of an Itō semimartingale
Michael Hoffmann, Mathias Vetter
Given an Itō semimartingale with a time-homogeneous jump part observed at high frequency, we prove weak convergence of a normalized truncated empirical distribution function of the…
math.ST2015★ 1 cited
Nonparametric change-point analysis of volatility
Markus Bibinger, Moritz Jirak, Mathias Vetter
This work develops change-point methods for statistics of high-frequency data. The main interest is in the volatility of an Itô semi-martingale, the latter being discretely observe…