A bootstrap test for jumps in financial economics
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Hwang, Eunju | - |
dc.contributor.author | Shin, Dong Wan | - |
dc.date.available | 2020-02-28T16:42:33Z | - |
dc.date.created | 2020-02-06 | - |
dc.date.issued | 2014-10 | - |
dc.identifier.issn | 0165-1765 | - |
dc.identifier.uri | https://scholarworks.bwise.kr/gachon/handle/2020.sw.gachon/12269 | - |
dc.description.abstract | 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 bootstrap test has more stable size than the ratio test of Barndorff-Nielsen and Shephard (2006). (C) 2014 Elsevier B.V. All rights reserved. | - |
dc.language | 영어 | - |
dc.language.iso | en | - |
dc.publisher | ELSEVIER SCIENCE SA | - |
dc.relation.isPartOf | ECONOMICS LETTERS | - |
dc.subject | INTEGRATED VOLATILITY | - |
dc.subject | MICROSTRUCTURE NOISE | - |
dc.subject | REALIZED VOLATILITY | - |
dc.subject | STOCHASTIC VOLATILITY | - |
dc.subject | DIFFUSION | - |
dc.subject | RETURNS | - |
dc.subject | OPTIONS | - |
dc.subject | MODELS | - |
dc.title | A bootstrap test for jumps in financial economics | - |
dc.type | Article | - |
dc.type.rims | ART | - |
dc.description.journalClass | 1 | - |
dc.identifier.wosid | 000343955000019 | - |
dc.identifier.doi | 10.1016/j.econlet.2014.08.024 | - |
dc.identifier.bibliographicCitation | ECONOMICS LETTERS, v.125, no.1, pp.74 - 78 | - |
dc.identifier.scopusid | 2-s2.0-84907691385 | - |
dc.citation.endPage | 78 | - |
dc.citation.startPage | 74 | - |
dc.citation.title | ECONOMICS LETTERS | - |
dc.citation.volume | 125 | - |
dc.citation.number | 1 | - |
dc.contributor.affiliatedAuthor | Hwang, Eunju | - |
dc.type.docType | Article | - |
dc.subject.keywordAuthor | i.i.d. bootstrap | - |
dc.subject.keywordAuthor | Jump diffusion process | - |
dc.subject.keywordAuthor | Ratio test | - |
dc.subject.keywordAuthor | Realized variation | - |
dc.subject.keywordAuthor | Realized bipower variation | - |
dc.subject.keywordPlus | INTEGRATED VOLATILITY | - |
dc.subject.keywordPlus | MICROSTRUCTURE NOISE | - |
dc.subject.keywordPlus | REALIZED VOLATILITY | - |
dc.subject.keywordPlus | STOCHASTIC VOLATILITY | - |
dc.subject.keywordPlus | DIFFUSION | - |
dc.subject.keywordPlus | RETURNS | - |
dc.subject.keywordPlus | OPTIONS | - |
dc.subject.keywordPlus | MODELS | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalWebOfScienceCategory | Economics | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
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