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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.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…