Testing for jumps when asset prices are observed with noise -- a ``swap variance approach
From MaRDI portal
Publication:295396
DOI10.1016/j.jeconom.2008.04.009zbMath1418.62382MaRDI QIDQ295396
George J. Jiang, Roel C. A. Oomen
Publication date: 13 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.04.009
62P05: Applications of statistics to actuarial sciences and financial mathematics
62M07: Non-Markovian processes: hypothesis testing
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