Testing for jumps and jump intensity path dependence

DOI10.1016/j.jeconom.2018.02.004zbMath1452.62756OpenAlexW2735800220MaRDI QIDQ1753059

Norman R. Swanson, Valentina Corradi, Mervyn J. Silvapullé

Publication date: 25 May 2018

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://epubs.surrey.ac.uk/845924/1/Testing%20for%20Jumps%20and%20Jump%20Intensity%20Path%20Dependence.pdf

zbMATH Keywords

diffusion modeljump intensityjump size densitytricity

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05)

Related Items (4)

Testing for the presence of jump components in jump diffusion models ⋮ Extremal quantiles and stock price crashes ⋮ Uniform predictive inference for factor models with instrumental and idiosyncratic betas ⋮ ETF basket-adjusted covariance estimation

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