Related papers: Nonparametric tests for detecting breaks in the ju…
This paper derives the asymptotic behavior of realized power variation of pure-jump It\^{o} semimartingales as the sampling frequency within a fixed interval increases to infinity. We prove convergence in probability and an associated…
We propose a new estimator for the integrated covariance of two Ito semimartingales observed at a high-frequency. This new estimator, which we call the pre-averaged truncated Hayashi-Yoshida estimator, enables us to separate the sum of the…
In spatial statistics, point processes are often assumed to be isotropic meaning that their distribution is invariant under rotations. Statistical tests for the null hypothesis of isotropy found in the literature are based either on…
We develop new econometric methods for the comparison of nonparametric time trends. In many applications, practitioners are interested in whether the observed time series all have the same time trend. Moreover, they would often like to know…
In this paper, we introduce an asymptotic test procedure to assess the stability of volatilities and cross-volatilites of linear and nonlinear multivariate time series models. The test is very flexible as it can be applied, for example, to…
We consider a nonparametric autoregression model under conditional heteroscedasticity with the aim to test whether the innovation distribution changes in time. To this end we develop an asymptotic expansion for the sequential empirical…
We present a new method for simulating Markovian jump processes with time-dependent transitions rates, which avoids the transformation of random numbers by inverting time integrals over the rates. It relies on constructing a sequence of…
For $n$ equidistant observations of a L\'evy process at time distance $\Delta_n$ we consider the problem of testing hypotheses on the volatility, the jump measure and its Blumenthal-Getoor index in a non- or semiparametric manner.…
We develop an adaptive jump test for discretely observed high-frequency semimartingales by combining the A"it-Sahalia--Jacod ratio statistic (A"it-Sahalia and Jacod, 2009) and the Lee--Mykland extreme-return statistic (Lee and Mykland,…
This article studies tail behavior for the error components in the stochastic frontier model, where one component has bounded support on one side, and the other has unbounded support on both sides. Under weak assumptions on the error…
We provide verification theorems (at different levels of generality) for infinite horizon stochastic control problems in continuous time for semimartingales. The control framework is given as an abstract "martingale formulation", which…
The paper considers nonparametric specification tests of quantile curves for a general class of nonstationary processes. Using Bahadur representation and Gaussian approximation results for nonstationary time series, simultaneous confidence…
In this paper we present a test for the maximal rank of the matrix-valued volatility process in the continuous Ito semimartingale framework. Our idea is based upon a random perturbation of the original high frequency observations of an Ito…
We derive limit theorems for the empirical distribution function of "devolatilized" increments of an It\^{o} semimartingale observed at high frequencies. These "devolatilized" increments are formed by suitably rescaling and truncating the…
This paper considers inference for conditional moment inequality models using a multiscale statistic. We derive the asymptotic distribution of this test statistic and use the result to propose feasible critical values that have a simple…
We study the limiting behavior of continuous time trawl processes which are defined using an infinitely divisible random measure of a time dependent set. In this way one is able to define separately the marginal distribution and the…
Piecewise-deterministic Markov processes form a general class of non-diffusion stochastic models that involve both deterministic trajectories and random jumps at random times. In this paper, we state a new characterization of the jump rate…
We study the short-time asymptotics of conditional expectations of smooth and non-smooth functions of a (discontinuous) Ito semimartingale; we compute the leading term in the asymptotics in terms of the local characteristics of the…
We propose a score test for dependence predictability in conditional copulas that is robust to temporal instabilities. Our semiparametric procedure accommodates flexible dynamics in the marginal processes and remains agnostic about the…
Sequential tests and their implied confidence sequences, which are valid at arbitrary stopping times, promise flexible statistical inference and on-the-fly decision making. However, strong guarantees are limited to parametric sequential…