Mixed-scale jump regressions with bootstrap inference

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

zbMATH Keywords

bootstrap; jumps; stochastic volatility; regression; high-frequency data; semimartingale; specification test

Mathematics Subject Classification ID

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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Testing for Jump Spillovers Without Testing for Jumps, Editors' introduction, Bootstrap method for misspecified ergodic Lévy driven stochastic differential equation models, Testing for mutually exciting jumps and financial flights in high frequency data

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