Jump regressions

Jump regressions

We develop econometric tools for studying jump dependence of two processes from high-frequency observations on a fixed time interval. In this context, only segments of data around a few outlying observations are informative for the inference. We derive an asymptotically valid test for stability of a...

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Bibliographic Details
Main Authors: LI, Jia, TODOROV, Viktor, TAUCHEN, George
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2017
Subjects:
efficient estimation
high-frequency data
jumps
LAMN
regression
semimartingale
specification test
stochastic volatility.
Econometrics
Economic Theory
Online Access:https://ink.library.smu.edu.sg/soe_research/2572
https://ink.library.smu.edu.sg/context/soe_research/article/3571/viewcontent/Li_Todorov_Tauchen_jur.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/2572
https://ink.library.smu.edu.sg/context/soe_research/article/3571/viewcontent/Li_Todorov_Tauchen_jur.pdf

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