Rate-optimal tests for jumps in diffusion processes

DOI10.1007/S00362-013-0541-YzbMATH Open1416.62457OpenAlexW2046534000MaRDI QIDQ379937FDOQ379937

Authors: Taesuk Lee, Mico Loretan, Werner Ploberger 

Publication date: 11 November 2013

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-013-0541-y

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zbMATH Keywords

jumpslikelihood ratio testfinancial econometricshigh-frequency data

Mathematics Subject Classification ID

Markov processes: hypothesis testing (62M02) Applications of statistics to actuarial sciences and financial mathematics (62P05) Diffusion processes (60J60)

Cites Work

• Title not available (Why is that?)
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Testing for jumps in a discretely observed process
• Title not available (Why is that?)

Cited In (26)

• Detecting the sampling rate through observations
• Nonparametric transition-based tests for jump diffusions
• Simulation-based exact jump tests in models with conditional heteroskedasticity
• High-frequency jump tests: which test should we use?
• Asymptotic lower bounds in estimating jumps
• Testing for jumps in a discretely observed process
• Testing for jumps and jump intensity path dependence
• Bootstrapping high-frequency jump tests
• The Gumbel test and jumps in the volatility process
• Testing for pure-jump processes for high-frequency data
• Testing and detecting jumps based on a discretely observed process
• Testing whether jumps have finite or infinite activity
• Optimal convergence rates for the invariant density estimation of jump-diffusion processes
• Estimating and detecting jumps. Applications to \(D[0,1]\)-valued linear processes
• Is a pure jump process fitting the high frequency data better than a jump-diffusion process?
• Lack of fit test for infinite variation jumps at high frequencies
• New tests for jumps in semimartingale models
• Testing for the presence of jump components in jump diffusion models
• Sequential hypothesis testing in machine learning, and crude oil price jump size detection
• The null hypothesis of (common) jumps in case of irregular and asynchronous observations
• A mathematical analysis of the Gumbel test for jumps in stochastic volatility models
• Testing for common arrivals of jumps for discretely observed multidimensional processes
• Detection of jumps in financial time series
• Testing for self-excitation in jumps
• Testing the characteristics of a Lévy process
• Testing and inference for fixed times of discontinuity in semimartingales

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