Can Tests for Jumps be Viewed as Tests for Clusters?
نویسندگان
چکیده
منابع مشابه
Averaging tests for jumps
We propose a new procedure to detect jumps in prices in the presence of microstructure noise. The procedure averages the results from existing tests across sampling frequencies. This approach overcomes the sub-sampling and low-power problems that plague existing tests for jumps. We use a modified version of Fisher’s method to combine p-values for the Barndorff-Nielsen and Shephard (2006) test a...
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ژورنال
عنوان ژورنال: Statistica Sinica
سال: 2015
ISSN: 1017-0405
DOI: 10.5705/ss.2013.158