Testing for self-excitation in jumps

DOI10.1016/J.JECONOM.2017.11.007MaRDI QIDQ1706487zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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• Estimation of jump tails
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• Jump activity estimation for pure-jump semimartingales via self-normalized statistics
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• Testing for jumps in a discretely observed process
• Testing for jumps in noisy high frequency data
• Testing for mutually exciting jumps and financial flights in high frequency data
• Testing for pure-jump processes for high-frequency data
• Testing for self-excitation in jumps
• Testing whether jumps have finite or infinite activity
• Time-varying jump tails

Cited in

(11)

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

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