An i.i.d. bootstrap is applied for the ratio test of Barndorff-Nielsen and Shephard (2006) for jumps in jump diffusion processes. Asymptotic validity is established for the bootstrap test both under the null of no jump and under the alternative of jumps. Finite sample simulation shows that the...

Recent empirical studies have demonstrated the informative nature of the equity returns in explaining the variation of the underlying firm's credit default swap (CDS) spreads. Motivated by these findings, we propose a unified credit-equity model by extending the latent structural model in Kijima...