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SUPPLEMENT TO "TESTING WHETHER JUMPS HAVE FINITE OR INFINITE ACTIVITY"
 

Summary: SUPPLEMENT TO "TESTING WHETHER JUMPS HAVE
FINITE OR INFINITE ACTIVITY"
By Yacine A´t-Sahalia1 and Jean Jacod
Princeton University and UPMC (UniversitÚ Paris-6)
This supplement contains the technical results and proofs.
1. Preliminary results. We first show a few facts which have been stated
without proof in Section 2 of the paper, like Lemmas 1 and 2 and the inclusion


. We first introduce, for each 0, the two increasing processes:
(A.1) () =
Z
0

Z
(||
1) () 0
() =
X

  

Source: A´t-Sahalia, Yacine - Program in Applied and Comptutational Mathematics & Department of Economics, Princeton University

 

Collections: Mathematics