New tests for jumps in semimartingale models

By Mark Podolskij, D. Ziggel. 2010

66 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/5b0576e5e4976e43084266be4eb776c09199705e

How researchers see this paper

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In Finance

1. Roberto Renò
2. G. Urga
3. Ana-Maria H. Dumitru
4. Massimiliano Caporin
5. A. Kolokolov
6. Katsumi Shimotsu

Citations in the corpus

• Identifying Jumps in Financial Assets: A Comparison Between Nonparametric Jump Tests (2011, background): “…by Andersen, Bollerslev, and Dobrev (2007), Aı̈t-Sahalia and Jacod (2008), Jiang and Oomen (2008), Lee and Mykland (2008), Andersen, Dobrev, and Schaumburg (2009) [two tests based on the minimum and median realized variance], Corsi, Pirino, and Renò (2010), and Podolskij and Ziggel (2010).”
• The Estimation of Leverage Effect With High-Frequency Data (2014, unknown): “11 Alternatively, one can apply the jump tests as in A¨ıt-Shalia and Jacod (2009), Barndorff-Nielsen and Shephard (2004), Barndorff-Nielsen and Shephard (2006), Mancini (2001), Podolskij and Ziggel (2010), and other works by the same authors.”
• Systemic Co-Jumps (2017, background): “The rest follows as in Podolskij and Ziggel (2010).”