Testing and detecting jumps based on a discretely observed process

Journal of Econometrics

Volumn 164, Issue 2, 2011, Pages 331-344

  Fan, Yingying ^a   Fan, Jianqing ^b  

^a UNIVERSITY OF SOUTHERN CALIFORNIA   (United States)

^b Princeton University   (United States)

Author keywords

False discovery rate; High frequency; Jump diffusion process; Stable convergence; Test for jumps

Indexed keywords

FALSE DISCOVERY RATE; HIGH FREQUENCY; JUMP-DIFFUSION PROCESS; STABLE CONVERGENCE; TEST FOR JUMPS;

NUMERICAL METHODS;

EID: 84860408639     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2011.06.014     Document Type: Article

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