A note on the Gumbel convergence for the Lee and Mykland jump tests

Author:

Nunes João Pedro VidalORCID,Ruas João Pedro

Funder

FCT

Publisher

Elsevier BV

Subject

Finance

Reference32 articles.

1. Probability Approximations Via the Poisson Clumping Heuristic;Aldous,1989

2. No-arbitrage semi-martingale restrictions for continuous time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications;Andersen;J. Econometrics,2007

3. Jumps in high-frequency data: Spurious detections, dynamics, and news;Bajgrowicz;Manage. Sci.,2016

4. Power and bipower variation with stochastic volatility and jumps;Barndorff-Nielsen;J. Financ. Econom.,2004

5. Limit theorems for the maximum term in stationary sequences;Berman;Ann. Math. Stat.,1964

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