Testing for self-excitation in jumps
Author:
Funder
Netherlands Organization for Scientific Research (NWO)
Publisher
Elsevier BV
Subject
Applied Mathematics,Economics and Econometrics
Reference39 articles.
1. Modeling financial contagion using mutually exciting jump processes;Aït-Sahalia;J. Financ. Econ.,2015
2. Estimating the degree of activity of jumps in high frequency data;Aït-Sahalia;Ann. Statist.,2009
3. Testing for jumps in a discretely observed process;Aït-Sahalia;Ann. Statist.,2009
4. Testing whether jumps have finite or infinite activity;Aït-Sahalia;Ann. Statist.,2011
5. Identifying the successive Blumenthal-Getoor indices of a discretely observed process;Aït-Sahalia;Ann. Statist.,2012
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