Testing for jumps in the EGARCH process

DOI10.1016/J.MATCOM.2008.05.003zbMath1168.91498OpenAlexW2084924396MaRDI QIDQ834296

Xiuhong Shi, Masahito Kobayashi

Publication date: 19 August 2009

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2008.05.003

zbMATH Keywords

jump processDirac's delta functionLagrange multiplier testDavies problemexponential GARCH

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items (1)

Testing for volatility jumps in the stochastic volatility process

Cites Work

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• Simulation-based exact jump tests in models with conditional heteroskedasticity
• Modified Lagrange multiplier tests for problems with one-sided alternatives
• Testing the Error Components Model with Non-Normal Disturbances
• Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
• Testing When a Parameter is on the Boundary of the Maintained Hypothesis
• Some remarks on overdispersion
• Testing for EGARCH Against Stochastic Volatility Models
• Power Variation and Time Change
• Likelihood ratio and associated test criteria
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis

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