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Asymptotic inference about predictive accuracy using high frequency data

Li, Jia; Patton, Andrew J. - In: Journal of econometrics 203 (2018) 2, pp. 223-240

Persistent link: https://www.econbiz.de/10011974659

A martingale-difference-divergence-based test for specification

Su, Liangjun; Zheng, Xin - In: Economics letters 156 (2017), pp. 162-167

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Deviation probability bound for martingales with applications to statistical estimation

Liptser, R.; Spokojnyj, Vladimir G. - 1999

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On quantile estimator in volatility model with non-negative error density and Bayesian perspective

Dutta, Debajit; Dhar, Subhra Sankar; Mitra, Amit - 2019

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Drift burst test statistic in a pure jump semimartingale model

Mancini, Cecilia - 2021

Persistent link: https://www.econbiz.de/10013347728

Drift burst test statistic in a pure jump semimartingale model

Mancini, Cecilia - 2022

We complete the investigation on the asymptotic behavior of the drift burst test statistic devised in Christensen, Oomen and Ren\`o (2020). They analysed it for an Ito semimartingale containing a Brownian component and finite variation jumps. We also account for infinite variation jumps.We show...

Persistent link: https://www.econbiz.de/10013309476