Testing for volatility jumps in the stochastic volatility process

DOI10.1007/S10690-006-9016-7MaRDI QIDQ862565zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

jump processLagrange multiplier teststochastic volatility process

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

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Cites work

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

Cited in

(15)

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

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