The Gumbel test and jumps in the volatility process
type: Item
instance of: scholarly article
title: The Gumbel test and jumps in the volatility process
zbMATH Open document ID: 1342.62070
author: Christian Palmes
author: Jeannette Woerner
published in: Statistical Inference for Stochastic Processes
publication date: 2016-06-29T00:00:00Z
full work available at URL: http://hdl.handle.net/2003/31294
Mathematics Subject Classification ID: 62G10
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62G32
zbMATH DE Number: 6599245
zbMATH Keywords: jump test
zbMATH Keywords: stochastic volatility model
zbMATH Keywords: volatility process with jumps
zbMATH Keywords: Gumbel distribution
zbMATH Keywords: extreme value theory
zbMATH Keywords: high-frequency data
MaRDI profile type: Publication
OpenAlex ID: W1955785745
cites work: Testing for jumps in a discretely observed process
cites work: Q5485944
cites work: Q3774629
cites work: Do price and volatility jump together?
cites work: Q4002114
cites work: Jumps in equilibrium prices and market microstructure noise
cites work: Handbook of Number Theory I
DOI: 10.1007/S11203-015-9127-8
description: scientific article; zbMATH DE number 6599245