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Bollerslev, Tim - 2011

We propose a new and flexible non-parametric framework for estimating the jump tails of Itô semimartingale processes. The approach is based on a relatively simple-to-implement set of estimating equations associated with the compensator for the jump measure, or its "intensity", that only...

Persistent link: https://www.econbiz.de/10013133664

Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas

Can, Sami - 2017

Consider a random sample from a continuous multivariate distribution function F with copula C. In order to test the null hypothesis that C belongs to a certain parametric family, we construct an under H0 asymptotically distribution-free process that serves as a tests generator. The process is a...

Persistent link: https://www.econbiz.de/10012941154

Asymptotically Distribution-Free Goodness-of-Fit Testing for Tail Copulas

Can, Sami - 2014

Let (X1, Y1), … , (Xn, Yn) be an i.i.d. sample from a bivariate distribution function that lies in the max-domain of attraction of an extreme value distribution. The asymptotic joint distribution of the standardized component-wise maxima max( Xi) and max(Yi) is then characterized by the...

Persistent link: https://www.econbiz.de/10013051730

Estimation of Jump Tails

Bollerslev, Tim - 2010

Persistent link: https://www.econbiz.de/10013144212

Testing for self-excitation in jumps

Boswijk, Herman Peter; Laeven, Roger J. A.; Yang, Xiye - In: Journal of econometrics 203 (2018) 2, pp. 256-266

Persistent link: https://www.econbiz.de/10011974668

A Tale of Two Time Scales : Applications in Nonparametric Hawkes Processes With Ito Semimartingale Baseline

Yu, Seunghyeon; Potiron, Yoann - 2022

estimates and truncated Two Scales Realized Volatility of these estimates, together with its central limit theory and feasible … statistics. As a byproduct, we provide estimation and feasible limit theory of the branching ratio (i.e. the L1-norm of the …-varying baseline, and for the absence of Brownian diffusion in the baseline. Simulation studies corroborate the theory, and document …

Persistent link: https://www.econbiz.de/10013403725