Lack of Fit Test for Infinite Variation Jumps at High Frequencies

DOI10.5705/SS.202016.0349zbMath1412.62112OpenAlexW3125672924MaRDI QIDQ4626679

Xin-Bing Kong

Publication date: 28 February 2019

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5705/ss.202016.0349

zbMATH Keywords

Brownian motionItô semimartingaleinfinite activity jumpsinfinite variation jumps

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Brownian motion (60J65) Generalizations of martingales (60G48)

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