๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

TESTING FOR A JUMP IN CO-SPECTRA1

โœ Scribed by Nicholls, D. F.

Book ID
115208956
Publisher
Wiley (Blackwell Publishing)
Year
1969
Tongue
English
Weight
338 KB
Volume
11
Category
Article
ISSN
0004-9581

No coin nor oath required. For personal study only.

๐Ÿ“œ SIMILAR VOLUMES

Testing for jumps in the EGARCH process
Testing for jumps in the EGARCH process
โœ Xiuhong Shi; Masahito Kobayashi ๐Ÿ“‚ Article ๐Ÿ“… 2009 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 222 KB
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