Authors: Palmes, Christian
Woerner, Jeannette H.C.
Title: The Gumbel test and jumps in the volatility process
Language (ISO): en
Abstract: In the framework of jump detection in stochastic volatility models the Gumbel test based on extreme value theory has recently been introduced. Compared to other jump tests it possesses the advantages that the direction and location of jumps may also be detected. Furthermore, compared to the Barndorff-Nielsen and Shephard test based on bipower variation the Gumbel test possesses a larger power. However, so far one assumption was that the volatility process is Hölder continuous, though there is empirical evidence for jumps in the volatility as well. In this paper we derive that the Gumbel test still works under the setting of finitely many jumps not exceeding a certain size. Furthermore, we show that the given bound on the jump size is sharp.
Subject Headings: jump test
stochastic volatility model
volatility process with jumps
Gumbel distribution
extreme value theory
high-frequency data
URI: http://hdl.handle.net/2003/31294
http://dx.doi.org/10.17877/DE290R-13114
Issue Date: 2013-12-10
Appears in Collections:Preprints der Fakultät für Mathematik

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