Nonparametric transition-based tests for jump diffusions

Journal of the American Statistical Association

Volumn 104, Issue 487, 2009, Pages 1102-1116

  Aït Sahalia, Yacine ^a   Fan, Jianqing ^b,c   Peng, Heng ^d  

^a PRINCETON UNIVERSITY   (United States)

^b Princeton University   (United States)

^c SHANGHAI UNIVERSITY OF FINANCE AND ECONOMICS   (China)

^d HONG KONG BAPTIST UNIVERSITY   (Hong Kong)

Author keywords

Generalized likelihood ratio test; Jump diffusion; Local linear fit; Markovian process; Null distribution; Specification test; Transition density

Indexed keywords

EID: 70349774776     PISSN: 01621459     EISSN: None     Source Type: Journal    
DOI: 10.1198/jasa.2009.tm08198     Document Type: Article

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