Testing and detecting jumps based on a discretely observed process
From MaRDI portal
Publication:738031
DOI10.1016/j.jeconom.2011.06.014zbMath1441.62680OpenAlexW3124462366MaRDI QIDQ738031
Publication date: 12 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.06.014
Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Related Items (5)
Testing the volatility jumps based on the high frequency data ⋮ RANK: Large-Scale Inference With Graphical Nonlinear Knockoffs ⋮ Testing for diffusion in a discretely observed semimartingale ⋮ Testing for jumps based on high-frequency data: a method exploiting microstructure noise ⋮ Second-order properties of thresholded realized power variations of FJA additive processes
Cites Work
- Unnamed Item
- Testing for jumps when asset prices are observed with noise -- a ``swap variance approach
- Testing for jumps in a discretely observed process
- Asymptotic error distributions for the Euler method for stochastic differential equations
- A selective overview of nonparametric methods in financial econometrics
- Testing for common arrivals of jumps for discretely observed multidimensional processes
- Asymptotic properties of realized power variations and related functionals of semimartingales
- Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Option pricing when underlying stock returns are discontinuous
- Power Variation and Time Change
- A Tale of Two Time Scales
- Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model
This page was built for publication: Testing and detecting jumps based on a discretely observed process
