Testing for jumps in the EGARCH process

DOI10.1016/J.MATCOM.2008.05.003zbMATH Open1168.91498OpenAlexW2084924396MaRDI QIDQ834296FDOQ834296

Authors: 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

Recommendations

• Testing for jumps in the stochastic volatility models
• Testing for volatility jumps in the stochastic volatility process
• Testing for EGARCH Against Stochastic Volatility Models
• Simulation-based exact jump tests in models with conditional heteroskedasticity
• Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach

zbMATH Keywords

Dirac's delta functionjump processLagrange multiplier testDavies problemexponential GARCH

Mathematics Subject Classification ID

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

Cites Work

• 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
• Title not available (Why is that?)
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
• Title not available (Why is that?)
• Power Variation and Time Change
• Likelihood ratio and associated test criteria
• Testing the Error Components Model with Non-Normal Disturbances
• Modified Lagrange multiplier tests for problems with one-sided alternatives
• Title not available (Why is that?)
• Testing for EGARCH Against Stochastic Volatility Models
• Simulation-based exact jump tests in models with conditional heteroskedasticity

Cited In (5)

• Testing for volatility jumps in the stochastic volatility process
• Testing for jumps in the stochastic volatility models
• Simulation-based exact jump tests in models with conditional heteroskedasticity
• Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach
• Inhomogeneous Jump-GARCH Models with Applications in Financial Time Series Analysis

This page was built for publication: Testing for jumps in the EGARCH process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q834296)