Testing the volatility jumps based on the high frequency data

DOI10.1111/JTSA.12634OpenAlexW3214290185MaRDI QIDQ6134625FDOQ6134625

Authors: Guangying Liu, Jinguan Lin 

Publication date: 22 August 2023

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12634

zbMATH Keywords

central limit theoremsemimartingalehigh frequency datavolatility jumps

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Applications of statistics to economics (62P20) Non-Markovian processes: hypothesis testing (62M07) Inference from stochastic processes (62Mxx)

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Cited In (3)

• Asymptotic normality of Nadaraya–Waton kernel regression estimation for mixing high-frequency data
• Testing for jumps in noisy high frequency data
• Testing for non-correlation between price and volatility jumps

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