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Modeling high-frequency financial data by pure jump processes
Jing B.-Y.2; Kong X.-B.3; Liu Z.1
2012-04-01
Source PublicationAnnals of Statistics
ABS Journal Level4*
ISSN00905364
Volume40Issue:2Pages:759-784
Abstract

It is generally accepted that the asset price processes contain jumps. In fact, pure jump models have been widely used to model asset prices and/or stochastic volatilities. The question is: is there any statistical evidence from the high-frequency financial data to support using pure jump models alone? The purpose of this paper is to develop such a statistical test against the necessity of a diffusion component. The test is very simple to use and yet effective. Asymptotic properties of the proposed test statistic will be studied. Simulation studies and some real-life examples are included to illustrate our results. © Institute of Mathematical Statistics, 2012.

KeywordDiffusion High-frequency Data Hypothesis Testing Pure Jump Process Semi-martingales
DOI10.1214/12-AOS977
URLView the original
Indexed BySCI
Language英语
WOS Research AreaMathematics
WOS SubjectStatistics & Probability
WOS IDWOS:000307608000005
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Citation statistics
Cited Times [WOS]:40   [WOS Record]     [Related Records in WOS]
Document TypeJournal article
CollectionDEPARTMENT OF MATHEMATICS
Affiliation1.Xiamen University
2.Hong Kong University of Science and Technology
3.Fudan University
Recommended Citation
GB/T 7714
Jing B.-Y.,Kong X.-B.,Liu Z.. Modeling high-frequency financial data by pure jump processes[J]. Annals of Statistics,2012,40(2):759-784.
APA Jing B.-Y.,Kong X.-B.,&Liu Z..(2012).Modeling high-frequency financial data by pure jump processes.Annals of Statistics,40(2),759-784.
MLA Jing B.-Y.,et al."Modeling high-frequency financial data by pure jump processes".Annals of Statistics 40.2(2012):759-784.
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