The Gumbel test and jumps in the volatility process

DOI10.1007/s11203-015-9127-8zbMath1342.62070OpenAlexW1955785745MaRDI QIDQ300783

Jeannette H. C. Woerner, Christian Palmes

Publication date: 29 June 2016

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2003/31294

zbMATH Keywords

extreme value theoryGumbel distributionhigh-frequency datastochastic volatility modeljump testvolatility process with jumps

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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• Jumps in equilibrium prices and market microstructure noise
• Do price and volatility jump together?
• Testing for jumps in a discretely observed process
• Handbook of Number Theory I

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