Lack of fit test for infinite variation jumps at high frequencies

DOI10.5705/SS.202016.0349zbMATH Open1412.62112OpenAlexW3125672924MaRDI QIDQ4626679FDOQ4626679

Authors: Xin-Bing Kong 

Publication date: 28 February 2019

Published in: STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5705/ss.202016.0349

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zbMATH Keywords

Brownian motioninfinite activity jumpsItô semimartingaleinfinite variation jumps

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Brownian motion (60J65) Generalizations of martingales (60G48)

Cited In (9)

• Unit root test with high-frequency data
• Testing for jumps and jump intensity path dependence
• Title not available (Why is that?)
• Testing whether jumps have finite or infinite activity
• Nonparametric tests for pathwise properties of semimartingales
• Is a pure jump process fitting the high frequency data better than a jump-diffusion process?
• Is Brownian motion necessary to model high-frequency data?
• Identifying latent factors based on high-frequency data
• Modeling high-frequency financial data by pure jump processes

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