How Successful Are Wavelets in Detecting Jumps?
We evaluate the performances of wavelet jump detection tests by using simulated high-frequency data, in which jumps and some other non-standard features are present. Wavelet-based jump detection tests have a clear advantage over the alternatives, as they are capable of stating the exact timing and n...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2017-11-01
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| Series: | Entropy |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1099-4300/19/12/638 |