Testing for diffusion in a discretely observed semimartingale

DOI10.1016/J.JKSS.2010.03.004MaRDI QIDQ2511575zbMATH OpenOpenAlexFDO

Authors Zhi Liu, Xin-Bing Kong, Bing-Yi Jing

Publication date 6 August 2014

Published in Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jkss.2010.03.004

zbMATH Keywords

asymptotic normalitypower variationpurely discontinuoussemimaringalestesting the diffusion

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Martingales with continuous parameter (60G44) Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A jump-diffusion model for option pricing
• Affine processes and applications in finance
• Analyzing the fine structure of continuous time stochastic processes
• Asymptotic properties of realized power variations and related functionals of semimartingales
• Estimating the degree of activity of jumps in high frequency data
• Financial Modelling with Jump Processes
• scientific article; zbMATH DE number 1834045 (Why is no real title available?)
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• La variation d'ordre p des semi-martingales
• Lévy Processes and Stochastic Calculus
• Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
• Stochastic Volatility for Lévy Processes
• Testing and detecting jumps based on a discretely observed process
• Testing for jumps in a discretely observed process

Cited in

(10)

• Testing the type of a semi-martingale: Itō against multifractal
• Semimartingale detection and goodness-of-fit tests
• Discovery of rare event testing for stochastic simulations of diffusion processes
• Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data
• Testing for continuous local martingales using the crossing tree
• Nonparametric tests for pathwise properties of semimartingales
• Specification tests for univariate diffusions
• Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach
• Is Brownian motion necessary to model high-frequency data?
• Divergences test statistics for discretely observed diffusion processes

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