University of Surrey

Test tubes in the lab Research in the ATI Dance Research

Consistent Pretesting for Jumps

Corradi, V, Silvapulle, MJ and Swanson, NR (2014) Consistent Pretesting for Jumps [UNSPECIFIED] (Submitted)

[img]
Preview
Text
corradi-silvapulle-swanson.pdf - ["content_typename_UNSPECIFIED" not defined]
Available under License : See the attached licence file.

Download (240kB) | Preview
[img]
Preview
PDF (licence)
SRI_deposit_agreement.pdf
Available under License : See the attached licence file.

Download (33kB) | Preview

Abstract

If the intensity parameter in a jump diffusion model is identically zero, then parameters characterizing the jump size density cannot be identified. In general, this lack of identification precludes consistent estimation of identified parameters. Hence, it should be standard practice to consistently pretest for jumps, prior to estimating jump diffusions. Many currently available tests have power against the presence of jumps over a finite time span (typically a day or a week); and, as already noted by various authors, jumps may not be observed over finite time spans, even if the intensity parameter is strictly positive. Such tests cannot be consistent against non-zero intensity. Moreover, sequential application of finite time span tests usually leads to sequential testing bias, which in turn leads to jump discovery with probability one, in the limit, even if the true intensity is identically zero. This paper introduces tests for jump intensity, based on both in-fill and long-span asymptotics, which solve both the test consistency and the sequential testing bias problems discussed above, in turn facilitating consistent estimation of jump diffusion models.

Item Type: UNSPECIFIED
Divisions : Faculty of Arts and Social Sciences > School of Economics
Authors :
AuthorsEmailORCID
Corradi, VUNSPECIFIEDUNSPECIFIED
Silvapulle, MJUNSPECIFIEDUNSPECIFIED
Swanson, NRUNSPECIFIEDUNSPECIFIED
Date : 6 June 2014
Related URLs :
Depositing User : Symplectic Elements
Date Deposited : 25 Feb 2015 17:46
Last Modified : 25 Feb 2015 17:46
URI: http://epubs.surrey.ac.uk/id/eprint/805628

Actions (login required)

View Item View Item

Downloads

Downloads per month over past year


Information about this web site

© The University of Surrey, Guildford, Surrey, GU2 7XH, United Kingdom.
+44 (0)1483 300800