Consistent pretesting for jumps
Year of publication: |
2014
|
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Authors: | Corradi, Valentina ; Silvapulle, Mervyn J. ; Swanson, Norman R. |
Publisher: |
New Brunswick, NJ : Dep. of Economics, Rutgers, the State Univ. of New Jersey |
Subject: | diffusion model | jump intensity | jump size density | sequential testing bias | bootstrap | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory | Bootstrap-Verfahren | Bootstrap approach | Statistische Verteilung | Statistical distribution |
Extent: | Online-Ressource (33 S.) |
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Series: | Working papers / Rutgers University, Department of Economics. - New Brunswick, NJ : [Verlag nicht ermittelbar], ZDB-ID 2172035-6. - Vol. 2014-08 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Notes: | Systemvoraussetzungen: Acrobat Reader |
Other identifiers: | hdl:10419/123821 [Handle] |
Classification: | C12 - Hypothesis Testing ; C22 - Time-Series Models ; C52 - Model Evaluation and Testing ; c55 |
Source: | ECONIS - Online Catalogue of the ZBW |
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