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L1-estimation for the location parameters in stochastic volatility models

โœ Scribed by L. Wang

Book ID
111503763
Publisher
Allerton Press Inc
Year
2011
Tongue
English
Weight
484 KB
Volume
20
Category
Article
ISSN
1066-5307

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๐Ÿ“œ SIMILAR VOLUMES

Testing for jumps in the stochastic vola
Testing for jumps in the stochastic volatility models
โœ Masahito Kobayashi ๐Ÿ“‚ Article ๐Ÿ“… 2009 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 255 KB

This paper proposes the Lagrange multiplier (LM) test, or the score test, for jumps in the stochastic volatility (SV) model in the cases where the innovation term follows the normal and Student t-distributions. The tested null hypothesis is that the jump density has zero variance, which is expressed