Simulation-based exact jump tests in models with conditional heteroskedasticity

DOI10.1016/S0165-1889(03)00034-4MaRDI QIDQ951480zbMATH OpenOpenAlexFDO

Authors Lynda Khalaf, Jean-François Bilodeau, Jean-Daniel M. Saphores

Publication date 24 October 2008

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0165-1889(03)00034-4

zbMATH Keywords

conditional heteroskedasticitybounds testexact testjump processMonte-Carlo test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Non-Markovian processes: hypothesis testing (62M07) Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

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Cited in

(5)

• Testing for volatility jumps in the stochastic volatility process
• Testing for jumps in the stochastic volatility models
• Testing for jumps in the EGARCH process
• Full Bayesian Analysis for a Class of Jump-Diffusion Models
• Conditional higher order moments in metal asset returns

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