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    Data-Driven Jump Detection Thresholds for Application in Jump Regressions 

    Davies, R; Tauchen, George E (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 ...
     

     

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    Author
    Davies, R (1)
    Tauchen, George E (1)Date Issued2015 (1)Type
    Journal article (1)
    Subjectefficient estimation (1)high-frequency data (1)
    jumps (1)
    semimartingale (1)specification test (1)stochastic volatility (1)... View MoreAffiliation of Duke Author(s)
    Duke (1)
    Economics (1)
    Trinity College of Arts & Sciences (1)