Nonparametric transition-based tests for jump diffusions
Year of publication: |
2009
|
---|---|
Authors: | Aït-Sahalia, Yacine ; Fan, Jianqing ; Peng, Heng |
Published in: |
Journal of the American Statistical Association : JASA. - Philadelphia, Pa. : Taylor & Francis Group, ISSN 0162-1459, ZDB-ID 207602-0. - Vol. 104.2009, 487, p. 1102-1116
|
Subject: | Nichtparametrisches Verfahren | Nonparametric statistics | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Statistischer Test | Statistical test | Volatilität | Volatility |
-
Identifying jumps in financial assets : a comparison between nonparametric jump tests
Dumitru, Ana-Maria, (2011)
-
Identifying jumps in financial assets : a comparison between nonparametric jump tests
Dumitru, Ana-Maria, (2012)
-
High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree, (2020)
- More ...
-
Nonparametric Transition-Based Tests for Jump Diffusions
Aït-Sahalia, Yacine, (2009)
-
Nonparametric Transition-Based Tests for Jump Diffusions
Aït-Sahalia, Yacine, (2009)
-
Nonparametric Transition-Based Tests for Jump-Diffusions
Aït-Sahalia, Yacine, (2007)
- More ...