A note on the Gumbel convergence for the Lee and Mykland jump tests

dc.contributor.authorNunes, J.
dc.contributor.authorRuas, J.
dc.date.accessioned2024-02-23T11:43:16Z
dc.date.available2024-02-23T11:43:16Z
dc.date.issued2024
dc.date.updated2024-02-23T11:42:41Z
dc.description.abstractThe Lee and Mykland (2008, 2012) nonparametric jump tests have been widely used in the literature but its critical region is stated with reference to the asymptotic distribution of the maximum of a set of standard normal variates. However, such reference would imply a typo (of a non-negligible order) for the norming constants adopted. By using the asymptotic distribution of the maximum of a set of folded normal random variables instead, this paper shows that there is no typo at all, thus preserving the validity of all the empirical findings based on these tests.eng
dc.description.versioninfo:eu-repo/semantics/publishedVersion
dc.identifier.citationNunes, J., Ruas, J. (2024). A note on the Gumbel convergence for the Lee and Mykland jump tests. Finance Research Letters, 59, 104814. https://dx.doi.org/10.1016/j.frl.2023.104814
dc.identifier.doi10.1016/j.frl.2023.104814
dc.identifier.issn1544-6123
dc.identifier.urihttp://hdl.handle.net/10071/31168
dc.language.isoeng
dc.peerreviewedyes
dc.publisherElsevier
dc.relationinfo:eu-repo/grantAgreement/FCT/6817 - DCRRNI ID/UIDB%2F00315%2F2020/PT
dc.rightsopen access
dc.subjectExtreme-value theoryeng
dc.subjectGumbel laweng
dc.subjectFolded normal distributioneng
dc.subjectJump detectioneng
dc.subject.fosDomínio/Área Científica::Ciências Sociais::Economia e Gestãopor
dc.titleA note on the Gumbel convergence for the Lee and Mykland jump testseng
dc.typearticle
dc.volume59
dspace.entity.typePublicationen
iscte.alternateIdentifiers.scopus2-s2.0-85179060351
iscte.alternateIdentifiers.wosWOS:001135037900001
iscte.identifier.cienciahttps://ciencia.iscte-iul.pt/id/ci-pub-100198
iscte.journalFinance Research Letters

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