摘要翻译：
本文考虑了由扩散和跳跃驱动的两个过程。跳变分量是Levy过程，它们既可以有有限的活性，也可以有无限的活性。在给定离散观测值的情况下，我们估计了两个扩散部分之间的协变和共跳。共跳检测可以深入了解跳变分量的依赖结构，在金融领域具有重要的应用价值。我们的估计器基于阈值原则，允许隔离跳变。本文在Gobbi和Mancini(2006)的基础上，得到了跳变分量具有有限活动性时，协变估计的渐近正态性，其收敛速度由h的平方根给出。这里我们证明，只有当跳跃分量的活动适中时，速度才是h的平方根。
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英文标题：
《Diffusion covariation and co-jumps in bidimensional asset price
  processes with stochastic volatility and infinite activity Levy jumps》
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作者：
Fabio Gobbi, Cecilia Mancini
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最新提交年份：
2007
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分类信息：

一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Mathematics        数学
二级分类：Statistics Theory        统计理论
分类描述：Applied, computational and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments, case studies
应用统计、计算统计和理论统计：例如统计推断、回归、时间序列、多元分析、数据分析、马尔可夫链蒙特卡罗、实验设计、案例研究
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一级分类：Statistics        统计学
二级分类：Statistics Theory        统计理论
分类描述：stat.TH is an alias for math.ST. Asymptotics, Bayesian Inference, Decision Theory, Estimation, Foundations, Inference, Testing.
Stat.Th是Math.St的别名。渐近，贝叶斯推论，决策理论，估计，基础，推论，检验。
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英文摘要：
  In this paper we consider two processes driven by diffusions and jumps. The jump components are Levy processes and they can both have finite activity and infinite activity. Given discrete observations we estimate the covariation between the two diffusion parts and the co-jumps. The detection of the co-jumps allows to gain insight in the dependence structure of the jump components and has important applications in finance. Our estimators are based on a threshold principle allowing to isolate the jumps. This work follows Gobbi and Mancini (2006) where the asymptotic normality for the estimator of the covariation, with convergence speed given by the squared root of h, was obtained when the jump components have finite activity. Here we show that the speed is the squared root of h only when the activity of the jump components is moderate.
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PDF链接：
https://arxiv.org/pdf/705.1268