New tests for jumps in semimartingale models
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Publication:625314
DOI10.1007/s11203-009-9037-8zbMath1333.62127OpenAlexW2039466535MaRDI QIDQ625314
Publication date: 15 February 2011
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11203-009-9037-8
central limit theoremhigh-frequency datamicrostructure noisetests for jumpssemimartingale theorytruncated power variation
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Related Items (10)
Bootstrapping Laplace transforms of volatility ⋮ Asymptotics for functionals of self-normalized residuals of discretely observed stochastic processes ⋮ Asymptotically distribution-free tests for the volatility function of a diffusion ⋮ High-frequency jump tests: which test should we use? ⋮ Cojumps and asset allocation in international equity markets ⋮ Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading ⋮ ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS ⋮ The Estimation of Leverage Effect With High-Frequency Data ⋮ Bootstrapping High-Frequency Jump Tests ⋮ Econometrics of co-jumps in high-frequency data with noise
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