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Data-Driven Jump Detection Thresholds for Application in Jump Regressions
(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 ...
Asymptotic Inference about Predictive Accuracy Using High Frequency Data
(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 ...