Rate-optimal tests for jumps in diffusion processes

DOI10.1007/S00362-013-0541-YzbMath1416.62457OpenAlexW2046534000MaRDI QIDQ379937

Taesuk Lee, Werner Ploberger, Mico Loretan

Publication date: 11 November 2013

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-013-0541-y

zbMATH Keywords

jumpslikelihood ratio testhigh-frequency datafinancial econometrics

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Diffusion processes (60J60) Markov processes: hypothesis testing (62M02)

Related Items (3)

Detection of jumps in financial time series ⋮ Testing for the presence of jump components in jump diffusion models ⋮ Testing for jumps and jump intensity path dependence

Cites Work

• Testing for jumps in a discretely observed process
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Unnamed Item
• Unnamed Item

This page was built for publication: Rate-optimal tests for jumps in diffusion processes