|Title:||On detecting changes in the jumps of arbitrary size of a time-continuous stochastic process|
|Abstract:||This paper introduces test and estimation procedures for abrupt and gradual changes in the entire jump behaviour of a discretely observed Ito semimartingale. In contrast to existing work we analyse jumps of arbitrary size which are not restricted to a minimum height. Our methods are based on weak convergence of a truncated sequential empirical distribution function of the jump characteristic of the underlying Ito semimartingale. Critical values for the new tests are obtained by a multiplier bootstrap approach and we investigate the performance of the tests also under local alternatives. An extensive simulation study shows the finite-sample properties of the new procedures.|
|Subject Headings:||Lévy measure|
|Appears in Collections:||Sonderforschungsbereich (SFB) 823|
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|DP_0418_SFB823_Hoffmann.pdf||DNB||914.12 kB||Adobe PDF||View/Open|
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