Detecting jumps from Lévy jump diffusion processes

Journal of Financial Economics

Volumn 96, Issue 2, 2010, Pages 271-290

  Lee, Suzanne S ^a   Hannig, Jan ^b  

^a GEORGIA INSTITUTE OF TECHNOLOGY   (United States)

^b UNIVERSITY OF NORTH CAROLINA   (United States)

Author keywords

Belief measure; False detection; High frequency data; L vy jumps; Nonparametric tests

Indexed keywords

EID: 77951204388     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfineco.2009.12.009     Document Type: Article

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