کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1148872 957854 2013 6 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Is a pure jump process fitting the high frequency data better than a jump-diffusion process?
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
Is a pure jump process fitting the high frequency data better than a jump-diffusion process?
چکیده انگلیسی

Two families of processes: pure jump processes and jump-diffusion processes are widely used in literatures. Recently, empirical findings demonstrate that the underlying processes of high frequency data sets are pure-jump processes of infinite variation in many situations. Statistical tests are also proposed to make the empirical findings theoretically grounded. In this paper, we extend the work of Jing et al. (2012) in two aspects: (1) the jump process in the null hypothesis and the alternative hypothesis could be different; (2) the null hypothesis covers more flexible processes which are more relevant in finance when considering models for asset prices or nominal interest rates. Theoretically, the test is proven to be very powerful and can control the type I error probabilities well under the nominal level.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Statistical Planning and Inference - Volume 143, Issue 2, February 2013, Pages 315–320
نویسندگان
,