Testing for jumps in the stochastic volatility models

DOI10.1016/J.MATCOM.2008.12.009MaRDI QIDQ1025341zbMATH OpenOpenAlexFDO

Authors Masahito Kobayashi

Publication date 18 June 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.2008.12.009

zbMATH Keywords

Dirac's delta functionjump processLagrange multiplier teststochastic volatility processDavies problem

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82)

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Cites work

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• On leverage in a stochastic volatility model
• Power Variation and Time Change
• Simulation-based exact jump tests in models with conditional heteroskedasticity
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• Stochastic volatility with leverage: fast and efficient likelihood inference
• Testing for Autocorrelated Disturbances in Nonlinear Regression Analysis
• Testing for EGARCH Against Stochastic Volatility Models
• Testing the Error Components Model with Non-Normal Disturbances
• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics

Cited in

(11)

• A mathematical analysis of the Gumbel test for jumps in stochastic volatility models
• Simulation-based exact jump tests in models with conditional heteroskedasticity
• Testing for volatility jumps in the stochastic volatility process
• Bayesian testing for jumps in stochastic volatility models with correlated jumps
• Testing for jumps in the EGARCH process
• Stationary Points for Parametric Stochastic Frontier Models
• A slightly depressing jump model: intraday volatility pattern simulation
• The Gumbel test and jumps in the volatility process
• Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models
• Testing for EGARCH Against Stochastic Volatility Models
• Testing for non-correlation between price and volatility jumps

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