Testing for jumps in a discretely observed process

Annals of Statistics

Volumn 37, Issue 1, 2009, Pages 184-222

  Aït Sahalia, Yacine ^a   Jacod, Jean ^b,c  

^a PRINCETON UNIVERSITY   (United States)

^b SORBONNE UNIVERSITÉ   (France)

^c INSTITUT DE MATHÉMATIQUES DE JUSSIEU   (France)

Author keywords

Discrete sampling; High frequency; Jumps; Test

Indexed keywords

EID: 64449085480     PISSN: 00905364     EISSN: None     Source Type: Journal    
DOI: 10.1214/07-AOS568     Document Type: Article

References (21)

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