310 citations · 565 across the 13 of their papers we have counts for
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math.ST2017
The null hypothesis of common jumps in case of irregular and asynchronous observations
Ole Martin, Mathias Vetter
This paper proposes novel tests for the absence of jumps in a univariate semimartingale and for the absence of common jumps in a bivariate semimartingale. Our methods rely on ratio…
math.ST2017
Nonparametric inference of gradual changes in the jump behaviour of time-continuous processes
Michael Hoffmann, Mathias Vetter, Holger Dette
In applications the properties of a stochastic feature often change gradually rather than abruptly, that is: after a constant phase for some time they slowly start to vary. In this…