Simulation-based exact jump tests in models with conditional heteroskedasticity

DOI10.1016/S0165-1889(03)00034-4zbMath1187.62138OpenAlexW2014321563MaRDI QIDQ951480

Jean-François Bilodeau, Lynda Khalaf, Jean-Daniel M. Saphores

Publication date: 24 October 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(03)00034-4

zbMATH Keywords

conditional heteroskedasticityjump processexact testbounds testMonte-Carlo test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Microeconomic theory (price theory and economic markets) (91B24) Non-Markovian processes: hypothesis testing (62M07)

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Testing for jumps in the EGARCH process ⋮ Testing for volatility jumps in the stochastic volatility process ⋮ Full Bayesian Analysis for a Class of Jump-Diffusion Models ⋮ Testing for jumps in the stochastic volatility models ⋮ Conditional higher order moments in metal asset returns

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