Testing for jumps in the EGARCH process

DOI10.1016/J.MATCOM.2008.05.003MaRDI QIDQ834296zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Testing for jumps in the stochastic volatility models
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• Simulation-based exact jump tests in models with conditional heteroskedasticity
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Cites work

• scientific article; zbMATH DE number 3793272 (Why is no real title available?)
• scientific article; zbMATH DE number 1898277 (Why is no real title available?)
• scientific article; zbMATH DE number 3240629 (Why is no real title available?)
• Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
• Likelihood ratio and associated test criteria
• Modified Lagrange multiplier tests for problems with one-sided alternatives
• Power Variation and Time Change
• Simulation-based exact jump tests in models with conditional heteroskedasticity
• Some remarks on overdispersion
• Testing When a Parameter is on the Boundary of the Maintained Hypothesis
• Testing for EGARCH Against Stochastic Volatility Models
• Testing the Error Components Model with Non-Normal Disturbances

Cited in

(5)

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

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