Testing the maximal rank of the volatility process for continuous diffusions observed with noise
| Autor: | Mark Podolskij, Tobias Fissler |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2017 |
| Předmět: |
Statistics and Probability
Statistics & Probability media_common.quotation_subject Mathematics - Statistics Theory Statistics Theory (math.ST) 62M07 60F05 62E20 60F17 01 natural sciences continuous Ito semimartingales 010104 statistics & probability 510 Mathematics High frequency data JUMPS Continuous Itô semimartingales 1403 Econometrics FOS: Mathematics Test statistic stat.TH Applied mathematics Microstructure noise Stable convergence continuous Itô semimartingales 0101 mathematics Normality Mathematics media_common Science & Technology Stochastic volatility Rank tesing Mathematical finance 0104 Statistics 010102 general mathematics math.ST Matrix perturbation microstructure noise Physical Sciences Volatility (finance) rank testing stable convergence high frequency data |
| Zdroj: | Bernoulli 23, no. 4B (2017), 3021-3066 Fissler, T & Podolskij, M 2014 ' Testing the maximal rank of the volatility process for continuous diffusions observed with noise ' Institut for Økonomi, Aarhus Universitet, Aarhus . Fissler, T & Podolskij, M 2017, ' Testing the maximal rank of the volatility process for continuous diffusions observed with noise ', Bernoulli, vol. 23, no. 4B, pp. 3021-3066 . |
| Popis: | In this paper, we present a test for the maximal rank of the volatility process in continuous diffusion models observed with noise. Such models are typically applied in mathematical finance, where latent price processes are corrupted by microstructure noise at ultra high frequencies. Using high frequency observations we construct a test statistic for the maximal rank of the time varying stochastic volatility process. Our methodology is based upon a combination of a matrix perturbation approach and pre-averaging. We will show the asymptotic mixed normality of the test statistic and obtain a consistent testing procedure. 39 pages, 1 figure |
| Databáze: | OpenAIRE |
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