Search Results - subject:"sequential testing bias"

Fixed and long time span jump tests: New Monte Carlo and empirical evidence

Cheng, Mingmian; Swanson, Norman R. - In: Econometrics 7 (2019) 1, pp. 1-32

Numerous tests designed to detect realized jumps over a fixed time span have been proposed and extensively studied in the financial econometrics literature. These tests differ from 'long time span tests' that detect jumps by examining the magnitude of the jump intensity parameter in the data...

Persistent link: https://www.econbiz.de/10012696228

Fixed and long time span jump tests : new Monte Carlo and empirical evidence

Cheng, Mingmian; Swanson, Norman R. - In: Econometrics : open access journal 7 (2019) 1/13, pp. 1-32

Numerous tests designed to detect realized jumps over a fixed time span have been proposed and extensively studied in the financial econometrics literature. These tests differ from “long time span tests” that detect jumps by examining the magnitude of the jump intensity parameter in the data...

Persistent link: https://www.econbiz.de/10012025640

Consistent pretesting for jumps

Corradi, Valentina; Silvapulle, Mervyn J.; Swanson, … - 2014

tests usually leads to sequential testing bias, which in turn leads to jump discovery with probability one, in the limit … long-span asymptotics, which solve both the test consistency and the sequential testing bias problems discussed above, in …

Persistent link: https://www.econbiz.de/10011396835

Consistent pretesting for jumps

Corradi, Valentina; Silvapulle, Mervyn J.; Swanson, … - 2014

Persistent link: https://www.econbiz.de/10010361470