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IDENTIFYING THE SUCCESSIVE BLUMENTHAL–GETOOR INDICES OF A DISCRETELY OBSERVED PROCESS
IDENTIFYING THE SUCCESSIVE BLUMENTHAL–GETOOR INDICES A DISCRETELY OBSERVED PROCESS
2014/3/13
This paper studies the identification of the Lévy jump measure of a discretely-sampled semimartingale. We define successive Blumenthal–Getoor indices of jump activity, and show that the leading index ...