Testing for self-excitation in jumps

DOI10.1016/J.JECONOM.2017.11.007zbMATH Open1386.62025OpenAlexW2784312476MaRDI QIDQ1706487FDOQ1706487

Authors: H. Peter Boswijk, Roger J. A. Laevent, Xiye Yang 

Publication date: 22 March 2018

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2017.11.007

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zbMATH Keywords

jumpssemimartingalehigh frequency datadiscrete samplingfinancial crisisself-excitationspot jump intensity

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: hypothesis testing (62M07) Martingales with continuous parameter (60G44)

Cites Work

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• Self-exciting point process modeling of crime
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• Adaptive estimation for Hawkes processes; application to genome analysis
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• Testing for jumps in a discretely observed process
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• Estimation of jump tails
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• Activity signature functions for high-frequency data analysis
• On the jump activity index for semimartingales
• Do price and volatility jump together?
• Nonparametric inference on Lévy measures and copulas
• Modeling high-frequency financial data by pure jump processes
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• Identifying the successive Blumenthal-Getoor indices of a discretely observed process
• Testing whether jumps have finite or infinite activity
• Parametric Inference and Dynamic State Recovery From Option Panels
• Time-varying jump tails
• Testing for mutually exciting jumps and financial flights in high frequency data
• Testing for pure-jump processes for high-frequency data
• Some statistical methods for random process data from seismology and neurophysiology
• Testing for self-excitation in jumps

Cited In (11)

• Surrender contagion in life insurance
• Self-exciting jump processes with applications to energy markets
• Testing for mutually exciting jumps and financial flights in high frequency data
• Testing for jumps and jump intensity path dependence
• Household lifetime strategies under a self-contagious market
• Pricing of variance swap rates and investment decisions of variance swaps: evidence from a three-factor model
• New tests for jumps in semimartingale models
• Testing for jump spillovers without testing for jumps
• A test for self-exciting clustering mechanism
• Testing for self-excitation in jumps
• Extremal quantiles and stock price crashes

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