Testing for Jump Spillovers Without Testing for Jumps

Testing for Jumps and Jump Intensity Path Dependence*

In this paper, we fill a gap in the financial econometrics literature, by developing a “jump test” for the null hypothesis that the probability of a jump is zero. The test is based on realized third moments, and uses observations over an increasing time span. The test offers an alternative to standard finite time span tests, and is designed to detect jumps in the data generating process rather ...

Testing For Efficiency Wages In Iran

Testing for Jumps: A Delta-Hedging Perspective∗

We measure asset price jumps by the hedging error they induce on a delta-hedged position of European options. Based on high frequency data, we propose a nonparametric estimator for this measure and a test for its positivity. We further construct a Kolmogorov-type test for the presence of jump hedging errors for a possibly infinite-dimensional family of options based on the worst-case contract i...

HYPOTHESIS TESTING FOR AN EXCHANGEABLE NORMAL DISTRIBUTION

Consider an exchangeable normal vector with parameters ????2, and ?. On the basis of a vector observation some tests about these parameters are found and their properties are discussed. A simulation study for these tests and a few nonparametric tests are presented. Some advantages and disadvantages of these tests are discussed and a few applications are given.

Testing for HIV without permission.

A proposal has been made by R. Doll ("A proposal for doing prevalence studies of AIDS," British Medical Journal 1987 Feb 14; 294(6569): 244) to carry out anonymous screening for AIDS on blood samples taken in hospitals for other purposes. Gillon analyzes ethical objections to the proposal: (1) the testing--which constitutes nontherapeutic research--would be done without the patient's consent; ...