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A bootstrap test for jumps in financial economics

Hwang, Eunju; Shin, Dong-wan - In: Economics letters 125 (2014) 1, pp. 74-78

Persistent link: https://www.econbiz.de/10010504752

Evaluating option pricing model performance using model uncertainty

Bams, Dennis; Blanchard, Gildas; Lehnert, Thorsten - 2014

Persistent link: https://www.econbiz.de/10010502926

Derivative pricing with collateralization and FX market dislocations

Moreni, Nicola; Pallavicini, Andrea - In: International journal of theoretical and applied finance 20 (2017) 6, pp. 1-27

Persistent link: https://www.econbiz.de/10011734332

Empirical asset pricing with functional factors

Nadler, Philip; Sancetta, Alessio - In: Journal of financial econometrics 21 (2023) 4, pp. 1258-1281

Persistent link: https://www.econbiz.de/10014391457

Some asymptotic results on non-standard likelihood ratio tests, and Cox process modeling in finance

Szimayer, Alexander (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001758056

A Comprehensive Comparison of Nonparametric Tests for Jumps in Asset Prices

Theodosiou, Marina G - 2011

This paper presents a comprehensive comparison of nonparametric tests for jumps in the prices of financial assets. The relative performance of eight tests is examined in a Monte Carlo simulation covering scenarios of both finite and infinite activity jumps, and stochastic volatility models with...

Persistent link: https://www.econbiz.de/10013122113