Testing for jumps in the stochastic volatility models

DOI10.1016/J.MATCOM.2008.12.009zbMath1162.91518OpenAlexW2049387581MaRDI QIDQ1025341

Masahito Kobayashi

Publication date: 18 June 2009

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2008.12.009

zbMATH Keywords

jump processDirac's delta functionLagrange multiplier teststochastic volatility processDavies problem

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On leverage in a stochastic volatility model
• Stochastic volatility with leverage: fast and efficient likelihood inference
• Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
• Simulation-based exact jump tests in models with conditional heteroskedasticity
• Modified Lagrange multiplier tests for problems with one-sided alternatives
• Markov chain Monte Carlo methods for stochastic volatility models.
• Specification testing in Markov-switching time-series models
• Testing the Error Components Model with Non-Normal Disturbances
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
• Testing for Autocorrelated Disturbances in Nonlinear Regression Analysis
• Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
• Monte Carlo maximum likelihood estimation for non-Gaussian state space models
• Some remarks on overdispersion
• Testing for EGARCH Against Stochastic Volatility Models
• Power Variation and Time Change
• Multivariate Stochastic Volatility: A Review
• AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY

This page was built for publication: Testing for jumps in the stochastic volatility models