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We use the Monte-Carlo (MC) test technique to find valid p-values when testing for discontinuities in jump-diffusion models. While the distribution of the LR statistic for this test is typically non-standard, we show that the MC p-value is finite sample exact if no other (identified) nuisance...
Persistent link: https://www.econbiz.de/10005696449
We use the Monte-Carlo (MC) test technique to find valid p-values when testing for discontinuities in jump-diffusion models. While the distribution of the LR statistic for this test is typically non-standard, we show that the MC p-value is finite sample exact if no other (identified) nuisance...
Persistent link: https://www.econbiz.de/10005670258
Persistent link: https://www.econbiz.de/10001470059
Persistent link: https://www.econbiz.de/10001853762
Persistent link: https://www.econbiz.de/10006758842