Testing for Jump Spillovers Without Testing for Jumps

DOI10.1080/01621459.2019.1609971zbMath1441.62262OpenAlexW2946052860MaRDI QIDQ5120659

Marcelo Fernandes, Walter Distaso, Valentina Corradi

Publication date: 15 September 2020

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: http://epubs.surrey.ac.uk/851821/1/Testing%20for%20Jumps%20Spillovers%20without%20testing%20for%20Jumps.pdf

zbMATH Keywords

kernel smoothingquadratic variationconditional independencejump intensityrealized measure

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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