位置：成果数据库 > 期刊 > 期刊详情页
Testing for pure jump processes using high frequency data
  • ISSN号：0090-5364
  • 期刊名称：Annals of Statistics
  • 时间：2015
  • 页码：847-877
  • 相关项目：高频数据下半鞅过程的统计推断
作者： Kong Xin-Bing|Liu Zhi|Jing Bing-Yi|
同期刊论文项目
高频数据下半鞅过程的统计推断
期刊论文 12
同项目期刊论文
FDR control in multiple testing under nonnormality
Is the driving force under a continuous process a Brownian motion or fractional Brownian motion?
Is a pure-jump process fitting the high frequency data better than a jump-diffusion process?
FDR control in multiple testing under non-normality
Is a pure jump process fitting the high frequency data better than a jump-diffusion process?
The asymptotics of the integrated self-weighted cross volatility estimator
Evaluating the hedging error in price processes with jumps present
A direct approach to risk approximation for vast portfolios under gross-exposure constraint using hi
On the estimation of integrated volatility with jumps and microstructure noise