Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation.
In this article we provide an asymptotic distribution theory for some nonparametric tests of the hypothesis that asset prices have continuous sample paths. We study the behaviour of the tests using simulated data and see that certain versions of the tests have good finite sample behavior. We also ap...
| Príomhchruthaitheoirí: | , |
|---|---|
| Formáid: | Journal article |
| Teanga: | English |
| Foilsithe / Cruthaithe: |
2006
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Search Result 1
Econometrics of testing for jumps in financial economics using bipower variation
Foilsithe / Cruthaithe 2005
Journal article
Search Result 2
Econometrics of testing for jumps in financial economics using bipower variation.
Foilsithe / Cruthaithe 2003
Working paper