Testing for non-correlation between price and volatility jumps

DOI10.1016/j.jeconom.2016.11.007zbMath1422.91781OpenAlexW2564830901MaRDI QIDQ515135

Jean Jacod, Gernot J. Müller, Claudia Klüppelberg

Publication date: 10 March 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://mediatum.ub.tum.de/doc/1108722/document.pdf

zbMATH Keywords

high-frequency datastochastic volatility modeldiscrete samplingstatistical testcommon jumpsItô semimartingale

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Stochastic models in economics (91B70)

Related Items (5)

Common price and volatility jumps in noisy high-frequency data ⋮ Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book ⋮ An oracle inequality for penalised projection estimation of Lévy densities from high-frequency observations ⋮ Volatility Estimation and Jump Testing via Realized Information Variation ⋮ Assessing the impact of jumps in an option pricing model: a gradient estimation approach

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