Nonparametric tests for jump detection via false discovery rate control : a Monte Carlo study
Year of publication: |
2019
|
---|---|
Authors: | Li, Kaiqiao ; He, Kan ; Nie, Lizhou ; Zhu, Wei ; Kuan, Pei Fen |
Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 13.2019, 3, p. 23-44
|
Subject: | high-frequency financial data | reproducibility | p-value pooling | stochastic volatility (SV) model | Theorie | Theory | Volatilität | Volatility | Statistischer Test | Statistical test | Monte-Carlo-Simulation | Monte Carlo simulation | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis | Nichtparametrisches Verfahren | Nonparametric statistics |
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