Testing for jumps when asset prices are observed with noise -- a ``swap variance approach

DOI10.1016/j.jeconom.2008.04.009zbMath1418.62382OpenAlexW3124788295MaRDI QIDQ295396

George J. Jiang, Roel C. A. Oomen

Publication date: 13 June 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.04.009

zbMATH Keywords

jumpsmarket microstructure noisebi-power variationswap variance

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: hypothesis testing (62M07)

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