Testing for volatility jumps in the stochastic volatility process

DOI10.1007/S10690-006-9016-7zbMATH Open1134.91435OpenAlexW1990979319MaRDI QIDQ862565FDOQ862565

Authors: Masahito Kobayashi 

Publication date: 24 January 2007

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-006-9016-7

Recommendations

• Testing for jumps in the stochastic volatility models
• Testing for jumps in a discretely observed process
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• Do price and volatility jump together?
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zbMATH Keywords

jump processLagrange multiplier teststochastic volatility process

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

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
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Post-'87 crash fears in the S\&P 500 futures option market
• Specification testing in Markov-switching time-series models
• Testing for Autocorrelated Disturbances in Nonlinear Regression Analysis
• Likelihood ratio and associated test criteria
• Testing for volatility jumps in the stochastic volatility process
• Testing for EGARCH Against Stochastic Volatility Models
• Testing for jumps in the EGARCH process
• Simulation-based exact jump tests in models with conditional heteroskedasticity

Cited In (15)

• Testing for volatility jumps in the stochastic volatility process
• Testing for jumps in the stochastic volatility models
• Testing for jumps in the EGARCH process
• Bayesian testing volatility persistence in stochastic volatility models with jumps
• Leverage, heavy-tails and correlated jumps in stochastic volatility models
• The Gumbel test and jumps in the volatility process
• A test for the rank of the volatility process: the random perturbation approach
• Do price and volatility jump together?
• Stochastic volatility model with correlated jump sizes and independent arrivals
• Functional relationships between price and volatility jumps and their consequences for discretely observed data
• A mathematical analysis of the Gumbel test for jumps in stochastic volatility models
• Testing for changing volatility
• Bayesian testing for jumps in stochastic volatility models with correlated jumps
• Testing for non-correlation between price and volatility jumps
• Testing for EGARCH Against Stochastic Volatility Models

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