Article

Estimation and Testing in Models Containing Both Jump and Conditional Heteroscedasticity.

Journal of Business and Economic Statistics (impact factor: 1.78). 01/1998; 16(2):237-43. pp.237-43
Source: RePEc

ABSTRACT In this paper, the authors develop a test for the hypothesis that a series (observed in discrete time) is generated by a diffusion process. This test is based on an overidentifying relation between variance and kurtosis parameters that holds for GARCH diffusions. The proposed test is not specific to a particular data frequency and clearly indicates the presence of jumps in dollar exchange rates. To assess the size and intensity of the jumps, the authors estimate a model containing both jumps and conditional heteroskedasticity.

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Keywords

authors estimate
 
conditional heteroskedasticity
 
diffusion process
 
discrete time
 
dollar exchange rates
 
GARCH diffusions
 
kurtosis parameters
 
overidentifying relation
 
proposed test