Browsing by Subject "semimartingale"

Now showing items 1-2 of 2

    • Asymptotic Inference about Predictive Accuracy Using High Frequency Data 

      Li, J; Patton, AJ (Economic Research Initiatives at Duke (ERID) Working Paper, 2013-07-06)
      This paper provides a general framework that enables many existing inference methods for predictive accuracy to be used in applications that involve forecasts of latent target variables. Such applications include the forecasting ...

    • 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 ...