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A nonparametric specification test for the volatility functions of diffusion processes

Chen, Qiang; Hu, Meidi; Song, Xiaojun - In: Econometric reviews 38 (2019) 5, pp. 557-576

Persistent link: https://www.econbiz.de/10012181335

Data-driven jump detection thresholds for application in jump regressions

Davies, Robert; Tauchen, George Eugene - 2015

This paper develops a method to select the threshold in threshold-based jump detection methods. The method is motivated by an analysis of threshold-based jump detection methods in the context of jump-diffusion models. We show that over the range of sampling frequencies a researcher is most...

Persistent link: https://www.econbiz.de/10011524214

Jump regressions

Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 1, pp. 173-195

Persistent link: https://www.econbiz.de/10011738476

Data-driven jump detection thresholds for application in jump regressions

Davies, Robert; Tauchen, George Eugene - In: Econometrics : open access journal 6 (2018) 2, pp. 1-25

Persistent link: https://www.econbiz.de/10011823308

Nonparametric transition-based tests for jump diffusions

Aït-Sahalia, Yacine; Fan, Jianqing; Peng, Heng - In: Journal of the American Statistical Association : JASA 104 (2009) 487, pp. 1102-1116

Persistent link: https://www.econbiz.de/10003902802

Nonparametric correlation integral-based tests for linear and nonlinear stochastic processes

Matilla-García, Mariano; Ruiz Marín, Manuel; Dore, … - In: Decisions in economics and finance : DEF ; a journal of … 37 (2014) 1, pp. 181-193

Persistent link: https://www.econbiz.de/10010340239

High-frequency jump tests : which test should we use?

Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - 2020 - (Revised working paper 17/18)

Persistent link: https://www.econbiz.de/10012606872

High-frequency jump tests : which test should we use?

Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - In: Journal of econometrics 219 (2020) 2, pp. 478-487

Persistent link: https://www.econbiz.de/10012483405

Semiparametric stationarity and fractional unit roots tests based on data-driven multidimensional increment ratio statistics

Bardet, Jean-Marc; Dola, Béchir - In: Journal of time series econometrics 8 (2016) 2, pp. 115-153

Persistent link: https://www.econbiz.de/10011582764

Testing for jumps based on high-frequency data : a method exploiting microstructure noise

Liu, Guangying; Xiang, Jing; Cang, Yuquan - In: Quantitative finance 20 (2020) 11, pp. 1795-1809

Persistent link: https://www.econbiz.de/10012313515

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