Testing and inference for fixed times of discontinuity in semimartingales
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Publication:2203627
DOI10.3150/20-BEJ1211zbMath1471.62343MaRDI QIDQ2203627
Publication date: 7 October 2020
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.bj/1598493635
bootstrap; options; jumps; stochastic volatility; stable convergence; nonparametric inference; time-changed Lévy process; fixed time of discontinuity
60G51: Processes with independent increments; Lévy processes
62G10: Nonparametric hypothesis testing
62G20: Asymptotic properties of nonparametric inference
62G05: Nonparametric estimation
60G48: Generalizations of martingales
60H30: Applications of stochastic analysis (to PDEs, etc.)
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