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Drift burst test statistic in a pure jump semimartingale model

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Drift burst test statistic in a pure jump semimartingale model

Mancini, Cecilia - 2022

We complete the investigation on the asymptotic behavior of the drift burst test statistic devised in Christensen, Oomen and Ren\`o (2020). They analysed it for an Ito semimartingale containing a Brownian component and finite variation jumps. We also account for infinite variation jumps.We show...

Persistent link: https://www.econbiz.de/10013309476