Testing and detecting jumps based on a discretely observed process

DOI10.1016/J.JECONOM.2011.06.014MaRDI QIDQ738031zbMATH OpenOpenAlexFDO

Authors Yingying Fan, Jianqing Fan

Publication date 12 August 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2011.06.014

zbMATH Keywords

false discovery ratestable convergencehigh frequencyjump diffusion processtest for jumps

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 720689 (Why is no real title available?)
• A Tale of Two Time Scales
• A selective overview of nonparametric methods in financial econometrics
• Asymptotic error distributions for the Euler method for stochastic differential equations
• Asymptotic properties of realized power variations and related functionals of semimartingales
• Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model
• Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
• Option pricing when underlying stock returns are discontinuous
• Power Variation and Time Change
• Testing for common arrivals of jumps for discretely observed multidimensional processes
• Testing for jumps in a discretely observed process
• Testing for jumps when asset prices are observed with noise -- a ``swap variance approach
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(13)

• Testing for jumps based on high-frequency data: a method exploiting microstructure noise
• Testing for diffusion in a discretely observed semimartingale
• Second-order properties of thresholded realized power variations of FJA additive processes
• Stab-GKnock: controlled variable selection for partially linear models using generalized knockoffs
• Identifying jumps in asset prices
• Detection of jumps in financial time series
• Rate-optimal tests for jumps in diffusion processes
• Using interpolated implied volatility for analysing exogenous market changes
• On detecting changes in the jumps of arbitrary size of a time-continuous stochastic process
• Testing for jumps in a discretely observed process
• Testing the volatility jumps based on the high frequency data
• New tests for jumps in semimartingale models
• RANK: Large-Scale Inference With Graphical Nonlinear Knockoffs

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