Now showing items 1-3 of 3

    • Data-Driven Jump Detection Thresholds for Application in Jump Regressions 

      Tauchen, GE; Davies, R (Economic Research Initiatives at Duke (ERID), 2015-09-17)
      This paper develops a method to select the threshold in threshold-based jump detection methods. The method is motivated by an analysis of threshold-based jump detection methods in the context of jump-diffusion models. We ...
    • Jump Regressions 

      Tauchen, GE; Li, J; Todorov, V (Econometrica, 2017-01-01)
      © 2017 The Econometric SocietyWe develop econometric tools for studying jump dependence of two processes from high-frequency observations on a fixed time interval. In this context, only segments of data around a few outlying ...
    • Robust Jump Regressions 

      Tauchen, GE