Corradi, Valentina; Silvapulle, Mervyn J.; Swanson, … - 2014
If the intensity parameter in a jump diffusion model is identically zero, then parameters characterizing the jump size …. Hence, it should be standard practice to consistently pretest for jumps, prior to estimating jump diffusions. Many currently … tests usually leads to sequential testing bias, which in turn leads to jump discovery with probability one, in the limit …
