Is a pure jump process fitting the high frequency data better than a jump-diffusion process?

DOI10.1016/J.JSPI.2012.08.007zbMath1429.62473OpenAlexW2010758490MaRDI QIDQ1926545

Xin-Bing Kong

Publication date: 28 December 2012

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2012.08.007

zbMATH Keywords

diffusionsemi-martingalespure jump process

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Generalizations of martingales (60G48) Diffusion processes (60J60) Markov processes: hypothesis testing (62M02) Jump processes on general state spaces (60J76)

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