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Modeling high frequency financial data by pure jump processes
Jing, B.Y.; Kong, X.B.; Liu, Z.
2012-04-01
Source PublicationAnnals of Statistics
ISSN0090-5364
Pages759-784
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.

KeywordDiffusion Pure Jump Process Semi-martingales High-frequency Data Hypothesis Testing
DOI10.1214/12-AOS977
Language英語English
The Source to ArticlePB_Publication
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Document TypeJournal article
CollectionDEPARTMENT OF MATHEMATICS
Corresponding AuthorKong, 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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