Testing for self-excitation in jumps

This paper extends the notion of self-excitation in jumps to a rich class of continuous time semimartingale models, proposes statistical tests to detect its presence in a discretely observed sample path at high frequency, and derives the tests’ asymptotic properties. Our statistical setting is semip...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	Journal of econometrics 2018-04, Vol.203 (2), p.256-266
Hauptverfasser:	Boswijk, H. Peter, Laeven, Roger J.A., Yang, Xiye
Format:	Artikel
Sprache:	eng
Schlagworte:	Asymptotic methods Discrete sampling Econometrics Economic crisis Financial crisis High frequency data Jumps Monte Carlo simulation Self-excitation Semimartingale Spot jump intensity Stochastic models
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!