Testing and detecting jumps based on a discretely observed process

DOI10.1016/J.JECONOM.2011.06.014zbMATH Open1441.62680OpenAlexW3124462366MaRDI QIDQ738031FDOQ738031

Authors: Yingying Fan, Jianqing Fan 

Publication date: 12 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.06.014

Recommendations

• Testing for jumps in a discretely observed process
• Detecting price jumps in the presence of market microstructure noise
• Rate-optimal tests for jumps in diffusion processes
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zbMATH Keywords

false discovery ratestable convergencehigh frequencyjump diffusion processtest for jumps

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Asymptotic properties of realized power variations and related functionals of semimartingales
• Title not available (Why is that?)
• Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
• A Tale of Two Time Scales
• Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model
• Testing for jumps in a discretely observed process
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Option pricing when underlying stock returns are discontinuous
• Asymptotic error distributions for the Euler method for stochastic differential equations
• Power Variation and Time Change
• Testing for common arrivals of jumps for discretely observed multidimensional processes
• A selective overview of nonparametric methods in financial econometrics
• Testing for jumps when asset prices are observed with noise -- a ``swap variance approach

Cited In (13)

• Testing the volatility jumps based on the high frequency data
• On detecting changes in the jumps of arbitrary size of a time-continuous stochastic process
• Testing for jumps in a discretely observed process
• Testing for jumps based on high-frequency data: a method exploiting microstructure noise
• Testing for diffusion in a discretely observed semimartingale
• Second-order properties of thresholded realized power variations of FJA additive processes
• RANK: Large-Scale Inference With Graphical Nonlinear Knockoffs
• New tests for jumps in semimartingale models
• Stab-GKnock: controlled variable selection for partially linear models using generalized knockoffs
• Identifying jumps in asset prices
• Detection of jumps in financial time series
• Rate-optimal tests for jumps in diffusion processes
• Using interpolated implied volatility for analysing exogenous market changes

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