Testing the volatility jumps based on the high frequency data

DOI10.1111/JTSA.12634MaRDI QIDQ6134625zbMATH OpenOpenAlexFDO

Authors Guangying Liu, Jinguan Lin

Publication date 22 August 2023

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/jtsa.12634

zbMATH Keywords

central limit theoremsemimartingalehigh frequency datavolatility jumps

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Applications of statistics to economics (62P20) Non-Markovian processes: hypothesis testing (62M07) Inference from stochastic processes (62Mxx)

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Cited in

(3)

• Asymptotic normality of Nadaraya–Waton kernel regression estimation for mixing high-frequency data
• Testing for jumps in noisy high frequency data
• Testing for non-correlation between price and volatility jumps

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