Testing for the presence of jump components in jump diffusion models
Year of publication: |
2022
|
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Authors: | Wang, Bin ; Zheng, Xu |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 230.2022, 2, p. 483-509
|
Subject: | Recurrent jump diffusions | Threshold estimation | Kernel estimation | Bootstrap test | Schätztheorie | Estimation theory | Stochastischer Prozess | Stochastic process | Bootstrap-Verfahren | Bootstrap approach | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Schätzung | Estimation |
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