Detection of jumps in financial market

DOI10.1080/03610918.2021.2016830MaRDI QIDQ6544944zbMATH OpenFDO

Authors Yanhua Wu, Yufeng Shi

Publication date 28 May 2024

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A New Multivariate Control Chart for Monitoring Both Location and Dispersion
• Multivariate control charts for monitoring the mean vector and covariance matrix with variable sampling intervals
• Testing for common arrivals of jumps for discretely observed multidimensional processes
• Testing for jumps when asset prices are observed with noise -- a ``swap variance approach

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