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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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2017
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| Subjects: | |
| 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 |