This work develops change-point methods for statistics of high-frequency data. The main interest is the volatility of an Itˆo semi-martingale, which is discretely observed over a fixed time horizon. We construct a minimax-optimal test to discriminate different smoothness classes of the underlying stochastic volatility process. In a high-frequency framework we prove weak convergence of the test statistic under the hypothesis to an extreme value distribution. As a key example, under extremely mild smoothness assumptions on the stochastic volatility we thereby derive a consistent test for volatility jumps. A simulation study demonstrates the practical value in finite-sample applications
Abstract We consider the problem of testing the parametric form of the volatility for high frequency...
This work is devoted to the study of modeling high frequency time series including extreme fluctuati...
Using recent advances in the nonparametric estimation of continuous-time processes under mild statis...
This work develops change-point methods for statistics of high-frequency data. The main interest is ...
We consider issues of high-frequency statistics, whereas our data is generated by discretization of ...
Detecting jumps in asset prices over a daily interval consists of testing for the significance of th...
We provide nonparametric methods for stochastic volatility modeling. Our methods allow for the joint...
High frequency financial data allows us to learn more about volatility, volatility of volatility and...
We propose two nonparametric tests for investigating the pathwise properties of a signal modeled as ...
International audienceWe propose two nonparametric tests for investigating the pathwise properties o...
This thesis deals with the statistical problems in finance and other dynamical systems which can be ...
In this paper, we present a test for the maximal rank of the volatility process in continuous diffus...
Statistical inference for stochastic processes under high-frequency observations has been an active ...
Ce papier évalue la performance de plusieurs tests de changement structurel CUSUM et EDF pour la str...
The basic model for high-frequency data in finance is considered, where an efficient price process i...
Abstract We consider the problem of testing the parametric form of the volatility for high frequency...
This work is devoted to the study of modeling high frequency time series including extreme fluctuati...
Using recent advances in the nonparametric estimation of continuous-time processes under mild statis...
This work develops change-point methods for statistics of high-frequency data. The main interest is ...
We consider issues of high-frequency statistics, whereas our data is generated by discretization of ...
Detecting jumps in asset prices over a daily interval consists of testing for the significance of th...
We provide nonparametric methods for stochastic volatility modeling. Our methods allow for the joint...
High frequency financial data allows us to learn more about volatility, volatility of volatility and...
We propose two nonparametric tests for investigating the pathwise properties of a signal modeled as ...
International audienceWe propose two nonparametric tests for investigating the pathwise properties o...
This thesis deals with the statistical problems in finance and other dynamical systems which can be ...
In this paper, we present a test for the maximal rank of the volatility process in continuous diffus...
Statistical inference for stochastic processes under high-frequency observations has been an active ...
Ce papier évalue la performance de plusieurs tests de changement structurel CUSUM et EDF pour la str...
The basic model for high-frequency data in finance is considered, where an efficient price process i...
Abstract We consider the problem of testing the parametric form of the volatility for high frequency...
This work is devoted to the study of modeling high frequency time series including extreme fluctuati...
Using recent advances in the nonparametric estimation of continuous-time processes under mild statis...