Econometrics of testing for jumps in financial economics using bipower variation.
In this paper we provide an asymptotic distribution theory for some non-parametric 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 behaviour. We also ap...
| Main Authors: | , |
|---|---|
| Format: | Working paper |
| Language: | English |
| Published: |
Nuffield College (University of Oxford)
2003
|
Search Result 1
Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation.
Published 2006
Journal article
Search Result 2
Econometrics of testing for jumps in financial economics using bipower variation
Published 2005
Journal article