3 papers
math.PR2018
Laws of large numbers for Hayashi-Yoshida-type functionals
Ole Martin, Mathias Vetter
In high-frequency statistics and econometrics sums of functionals of increments of stochastic processes are commonly used and statistical inference is based on the asymptotic behav…
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.ST2016
Testing for simultaneous jumps in case of asynchronous observations
Ole Martin, Mathias Vetter
This paper proposes a novel test for simultaneous jumps in a bivariate Itô semimartingale when observation times are asynchronous and irregular. Inference is built on a realized co…