Mixed-scale jump regressions with bootstrap inference
From MaRDI portal
Publication:1676389
DOI10.1016/j.jeconom.2017.08.017zbMath1377.62198MaRDI QIDQ1676389
Rui Chen, Jia Li, George Tauchen, Viktor Todorov
Publication date: 7 November 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://ink.library.smu.edu.sg/soe_research/2573
bootstrap; jumps; stochastic volatility; regression; high-frequency data; semimartingale; specification test
62P05: Applications of statistics to actuarial sciences and financial mathematics
62M05: Markov processes: estimation; hidden Markov models
60G48: Generalizations of martingales
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