Shi, Xiuhong; Kobayashi, Masahito - In: Mathematics and Computers in Simulation (MATCOM) 79 (2009) 9, pp. 2797-2808
This paper considers testing for jumps in the exponential GARCH (EGARCH) models with Gaussian and Student-t innovations. The Wald and log likelihood ratio tests contain a nuisance parameter unidentified under the null hypothesis of no jumps, and hence are unavailable for this problem, because...