If the intensity parameter in a jump diffusion model is identically zero, then parameters characterizing the jump size density cannot be identified. In general, this lack of identification precludes consistent estimation of identified parameters. Hence, it should be standard practice to...

In recent years, an impressive body or research on predictive accuracy testing and model comparison has been published in the econometrics discipline. Key contributions to this literature include the paper by Diebold and Mariano (DM: 1995) that sets the groundwork for much of the subsequent work...

If the intensity parameter in a jump diffusion model is identically zero, then parameters characterizing the jump size density cannot be identified. In general, this lack of identification precludes consistent estimation of identified parameters. Hence, it should be standard practice to...

In this paper, we fill a gap in the financial econometrics literature, by developing a “jump test” for the null hypothesis that the probability of a jump is zero. The test is based on realized third moments, and uses observations over an increasing time span. The test offers an alternative...

In recent years, an impressive body or research on predictive accuracy testing and model comparison has been published in the econometrics discipline. Key contributions to this literature include the paper by Diebold and Mariano (DM: 1995) that sets the groundwork for much of the subsequent work...

This paper introduces bootstrap specification tests for diffusion processes. In the one-dimensional case, the proposed test is closest to the nonparametric test introduced by Ait-Sahalia (1996), in the sense that both procedures determine whether the drift and variance components of a particular...