B1983
Title: Extremes at small times and applications to measuring jump process activity
Authors: Ana Ferreira - IST-ID (Portugal) [presenting]
Abstract: A limiting theorem characterizing maximal jumps of a Levy process is reviewed. This provides a new formulation arising from extreme value theory for understanding the level of activity related to the fine structure of such time-continuous stochastic processes. New estimators to measure the level of activity can be established, along with asymptotic properties, under first and second-order regular variation conditions.
