Rate-optimal tests for jumps in diffusion processes

DOI10.1007/S00362-013-0541-YMaRDI QIDQ379937zbMATH OpenOpenAlexFDO

Authors Taesuk Lee, Mico Loretan, Werner Ploberger

Publication date 11 November 2013

Published in Statistical Papers (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00362-013-0541-y

zbMATH Keywords

jumpslikelihood ratio testfinancial econometricshigh-frequency data

Mathematics Subject Classification ID

Markov processes: hypothesis testing (62M02) Applications of statistics to actuarial sciences and financial mathematics (62P05) Diffusion processes (60J60)

Recommendations

• Testing for jumps in a discretely observed process
• Testing for jumps based on high-frequency data: a method exploiting microstructure noise
• New tests for jumps in semimartingale models
• Testing for jumps and jump intensity path dependence
• Testing and detecting jumps based on a discretely observed process

Cites work

• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Testing for jumps in a discretely observed process

Cited in

(26)

• A mathematical analysis of the Gumbel test for jumps in stochastic volatility models
• Testing for common arrivals of jumps for discretely observed multidimensional processes
• Is a pure jump process fitting the high frequency data better than a jump-diffusion process?
• Asymptotic lower bounds in estimating jumps
• Lack of fit test for infinite variation jumps at high frequencies
• Simulation-based exact jump tests in models with conditional heteroskedasticity
• Testing whether jumps have finite or infinite activity
• Testing the characteristics of a Lévy process
• Detecting the sampling rate through observations
• Testing and inference for fixed times of discontinuity in semimartingales
• Nonparametric transition-based tests for jump diffusions
• Testing and detecting jumps based on a discretely observed process
• Detection of jumps in financial time series
• Optimal convergence rates for the invariant density estimation of jump-diffusion processes
• Testing for pure-jump processes for high-frequency data
• High-frequency jump tests: which test should we use?
• The Gumbel test and jumps in the volatility process
• Testing for the presence of jump components in jump diffusion models
• Testing for self-excitation in jumps
• Estimating and detecting jumps. Applications to \(D[0,1]\)-valued linear processes
• The null hypothesis of (common) jumps in case of irregular and asynchronous observations
• Testing for jumps in a discretely observed process
• Sequential hypothesis testing in machine learning, and crude oil price jump size detection
• New tests for jumps in semimartingale models
• Testing for jumps and jump intensity path dependence
• Bootstrapping high-frequency jump tests

This page was built for publication: Rate-optimal tests for jumps in diffusion processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q379937)