A bootstrap test for jumps in financial economics
From MaRDI portal
Publication:2343319
DOI10.1016/j.econlet.2014.08.024zbMath1310.91148OpenAlexW2003332237MaRDI QIDQ2343319
Publication date: 5 May 2015
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2014.08.024
Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Nonparametric statistical resampling methods (62G09)
Related Items
Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity, A Lagrangian multiplier test for market microstructure noise with applications to sampling interval determination for realized volatilities, Bootstrap Type-1 Fuzzy Functions Approach for Time Series Forecasting, Forecasting the realized variance of the log-return of Korean won US dollar exchange rate addressing jumps both in stock-trading time and in overnight
Cites Work
- Stationary bootstrapping realized volatility under market microstructure noise
- Bootstrapping realized multivariate volatility measures
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
- Testing for jumps in a discretely observed process
- Estimating stochastic volatility diffusion using conditional moments of integrated volatility
- Efficient estimation of integrated volatility in presence of infinite variation jumps
- A remark on the rates of convergence for integrated volatility estimation in the presence of jumps
- Stationary bootstrapping realized volatility
- Bootstrapping Realized Volatility