Testing for self-excitation in jumps
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Publication:1706487
DOI10.1016/j.jeconom.2017.11.007zbMath1386.62025OpenAlexW2784312476MaRDI QIDQ1706487
H. Peter Boswijk, Xiye Yang, Roger J. A. Laeven
Publication date: 22 March 2018
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2017.11.007
jumpsfinancial crisissemimartingalehigh frequency datadiscrete samplingself-excitationspot jump intensity
Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Martingales with continuous parameter (60G44) Non-Markovian processes: hypothesis testing (62M07)
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