Nonparametric tests for jump detection via false discovery rate control : a Monte Carlo study
Kaiqiao Li, Kan He, Lizhou Nie, Wei Zhu and Pei Fen Kuan
| Year of publication: |
2019
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|---|---|
| Authors: | Li, Kaiqiao ; He, Kan ; Nie, Lizhou ; Zhu, Wei ; Kuan, Pei Fen |
| Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 13.2019, 3, p. 23-44
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| Subject: | high-frequency financial data | reproducibility | p-value pooling | stochastic volatility (SV) model | Monte-Carlo-Simulation | Monte Carlo simulation | Volatilität | Volatility | Theorie | Theory | Stochastischer Prozess | Stochastic process | Statistischer Test | Statistical test | Nichtparametrisches Verfahren | Nonparametric statistics | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JRMV.2019.209 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012140256