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...
| Autors principals: | , |
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| Format: | Journal article |
| Idioma: | English |
| Publicat: |
Oxford University Press
2005
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