A mathematical analysis of the Gumbel test for jumps in stochastic volatility models (Q2821907)
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scientific article; zbMATH DE number 6629611
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| English | A mathematical analysis of the Gumbel test for jumps in stochastic volatility models |
scientific article; zbMATH DE number 6629611 |
Statements
A mathematical analysis of the Gumbel test for jumps in stochastic volatility models (English)
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26 September 2016
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jump test
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stochastic volatility model
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spot volatility
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Gumbel distribution
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extreme value theory
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high-frequency data
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0.9186432957649232
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0.7569593191146851
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0.7477415800094604
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0.7399689555168152
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0.7342638373374939
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