Nonparametric tests for detecting breaks in the jump behaviour of a time-continuous process
Methodology
2014-12-18 v1
Abstract
This paper is concerned with tests for changes in the jump behaviour of a time-continuous process. Based on results on weak convergence of a sequential empirical tail integral process, asymptotics of certain tests statistics for breaks in the jump measure of an Ito semimartingale are constructed. Whenever limiting distributions depend in a complicated way on the unknown jump measure, empirical quantiles are obtained using a multiplier bootstrap scheme. An extensive simulation study shows a good performance of our tests in finite samples.
Cite
@article{arxiv.1412.5376,
title = {Nonparametric tests for detecting breaks in the jump behaviour of a time-continuous process},
author = {Axel Bücher and Michael Hoffmann and Mathias Vetter and Holger Dette},
journal= {arXiv preprint arXiv:1412.5376},
year = {2014}
}
Comments
29 pages, 4 figures