New tests for jumps in semimartingale models

DOI10.1007/S11203-009-9037-8MaRDI QIDQ625314zbMATH OpenOpenAlexFDO

Authors Juan-Miguel Gracia

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

zbMATH Keywords

central limit theoremhigh-frequency datamicrostructure noisesemimartingale theorytests for jumpstruncated power variation

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A general version of the fundamental theorem of asset pricing
• A Tale of Two Time Scales
• Asymptotic properties of realized power variations and related functionals of semimartingales
• Bipower-type estimation in a noisy diffusion setting
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
• scientific article; zbMATH DE number 1834045 (Why is no real title available?)
• scientific article; zbMATH DE number 3227597 (Why is no real title available?)
• Jackknife, bootstrap and other resampling methods in regression analysis
• Limit theorems for moving averages of discretized processes plus noise
• Microstructure noise in the continuous case: the pre-averaging approach
• Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
• On mixing and stability of limit theorems
• Testing for jumps in a discretely observed process
• The bootstrap and Edgeworth expansion

Cited in

(27)

• Testing for jumps in a discretely observed process
• Testing for self-excitation in jumps
• Cojumps and asset allocation in international equity markets
• Testing for time-varying jump activity for pure jump semimartingales
• Testing and inference for fixed times of discontinuity in semimartingales
• High-frequency jump tests: which test should we use?
• Econometrics of co-jumps in high-frequency data with noise
• Asymptotics for functionals of self-normalized residuals of discretely observed stochastic processes
• Testing for diffusion in a discretely observed semimartingale
• Rate-optimal tests for jumps in diffusion processes
• Nonparametric tests for pathwise properties of semimartingales
• Asymptotically distribution-free tests for the volatility function of a diffusion
• The estimation of leverage effect with high-frequency data
• Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
• The null hypothesis of (common) jumps in case of irregular and asynchronous observations
• Nonparametric tests for detecting breaks in the jump behaviour of a time-continuous process
• Bootstrapping high-frequency jump tests
• ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS
• Bootstrapping Laplace transforms of volatility
• Jumps or Staleness?
• Tests for Jumps in Yield Spreads
• A new method for jump detection: analysis of jumps in the S\&P 500 financial index
• Testing for jumps in a discretely observed price process with endogenous sampling times
• Bumvu estimators
• Volatility connectedness of commodity futures and its application in portfolio optimization
• Statistical specification of jumps under semiparametric semimartingale models
• Testing and detecting jumps based on a discretely observed process

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