A bootstrap test for jumps in financial economics

DOI10.1016/j.econlet.2014.08.024zbMath1310.91148OpenAlexW2003332237MaRDI QIDQ2343319

Dong Wan Shin, Eun-Ju Hwang

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

zbMATH Keywords

jump-diffusion processrealized variationratio testrealized bipower variationi.i.d. bootstrap

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Nonparametric statistical resampling methods (62G09)

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Cites Work

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