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Search: subject:"Discontinuous Process"
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Bounds Test
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Conditional Heteroscedasticity
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Contingent claim valuation
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Discontinuous Process
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Monte Carlo Test
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Monte-Carlo test
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bounds test
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conditional heteroscedasticity
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discontinuous process
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incomplete model
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martingale measures
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purely discontinuous process
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Bilodeau, Jean-François
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Khalaf, Lynda
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Saphores, Jean-Daniel
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Eberlein, Ernst
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Jacod, Jean
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Département d'Économique, Université Laval
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Groupe de recherche en économie de l'énergie, de l'environnement et des ressources naturelles, Université Laval
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Finance and Stochastics
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Simulation-Based Exact Tests with Unidentified Nuisance Parameters under the Null Hypothesis : the Case of Jumps Tests in Model with Conditional Heteroskedasticity
Khalaf, Lynda
;
Saphores, Jean-Daniel
;
Bilodeau, …
-
Département d'Économique, Université Laval
-
2000
We use the Monte-Carlo (MC) test technique to find valid p-values when testing for discontinuities in jump-diffusion models. While the distribution of the LR statistic for this test is typically non-standard, we show that the MC p-value is finite sample exact if no other (identified) nuisance...
Persistent link: https://www.econbiz.de/10005696449
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2
Simulation-Based Exact Tests with Unidentified Nuisance Parameters Under the Null Hypothesis: the Case of Jumps Tests in Models with Conditional Heteroskedasticity
Khalaf, Lynda
;
Saphores, Jean-Daniel
;
Bilodeau, …
-
Groupe de recherche en économie de l'énergie, de …
-
2000
We use the Monte-Carlo (MC) test technique to find valid p-values when testing for discontinuities in jump-diffusion models. While the distribution of the LR statistic for this test is typically non-standard, we show that the MC p-value is finite sample exact if no other (identified) nuisance...
Persistent link: https://www.econbiz.de/10005670258
Saved in:
3
On the range of options prices (*)
Eberlein, Ernst
;
Jacod, Jean
- In:
Finance and Stochastics
1
(
1997
)
2
,
pp. 131-140
stock prices $(S_t)$ is a purely
discontinuous
process
(hence typically the model is incomplete). The main result is that …
Persistent link: https://www.econbiz.de/10005390676
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