Residential College | false |
Status | 已發表Published |
Modeling high frequency financial data by pure jump processes | |
Jing, B.Y.; Kong, X.B.; Liu, Z. | |
2012-04-01 | |
Source Publication | Annals of Statistics |
ISSN | 0090-5364 |
Pages | 759-784 |
Abstract | It is generally accepted that the asset price processes contain jumps. In fact, pure jump models have been widely used to model asset prices and/or stochastic volatilities. The question is: is there any statistical evidence from the high-frequency financial data to support using pure jump models alone? The purpose of this paper is to develop such a statistical test against the necessity of a diffusion component. The test is very simple to use and yet effective. Asymptotic properties of the proposed test statistic will be studied. Simulation studies and some real-life examples are included to illustrate our results. |
Keyword | Diffusion Pure Jump Process Semi-martingales High-frequency Data Hypothesis Testing |
DOI | 10.1214/12-AOS977 |
Language | 英語English |
The Source to Article | PB_Publication |
Fulltext Access | |
Citation statistics | |
Document Type | Journal article |
Collection | DEPARTMENT OF MATHEMATICS |
Corresponding Author | Kong, X.B.; Liu, Z. |
Recommended Citation GB/T 7714 | Jing, B.Y.,Kong, X.B.,Liu, Z.. Modeling high frequency financial data by pure jump processes[J]. Annals of Statistics, 2012, 759-784. |
APA | Jing, B.Y.., Kong, X.B.., & Liu, Z. (2012). Modeling high frequency financial data by pure jump processes. Annals of Statistics, 759-784. |
MLA | Jing, B.Y.,et al."Modeling high frequency financial data by pure jump processes".Annals of Statistics (2012):759-784. |
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