A mathematical analysis of the Gumbel test for jumps in stochastic volatility models

DOI10.1080/07362994.2016.1182870zbMath1351.62101OpenAlexW2499345109MaRDI QIDQ2821907

Christian Palmes, Jeannette H. C. Woerner

Publication date: 26 September 2016

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2016.1182870

zbMATH Keywords

extreme value theoryGumbel distributionhigh-frequency datastochastic volatility modeljump testspot volatility

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32)

Related Items (1)

Change-point inference on volatility in noisy Itô semimartingales

Cites Work

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• Estimating the diffusion coefficient function for a diversified world stock index
• Spot volatility estimation for high-frequency data
• Testing for jumps in a discretely observed process
• Spectral representations of infinitely divisible processes
• Adaptive wavelet estimation of the diffusion coefficient under additive error measurements
• On Moment Inequalities for Stochastic Integrals

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