Detection of jumps in financial time series

DOI10.1080/03610918.2019.1687722zbMath1489.62338OpenAlexW3005956055MaRDI QIDQ5083982

Yanhua Wu, Yu-feng Shi

Publication date: 21 June 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2019.1687722

zbMATH Keywords

Monte Carlo simulationjump detectionMaxEWMA chart

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: hypothesis testing (62M02) Jump processes on discrete state spaces (60J74)

Cites Work

• Testing for jumps when asset prices are observed with noise -- a ``swap variance approach
• Rate-optimal tests for jumps in diffusion processes
• Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
• Threshold bipower variation and the impact of jumps on volatility forecasting
• Testing for jumps in a discretely observed process
• A control chart based on likelihood ratio test for detecting patterned mean and variance shifts
• Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data

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