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http://hdl.handle.net/10071/31168| Author(s): | Nunes, J. Ruas, J. |
| Date: | 2024 |
| Title: | A note on the Gumbel convergence for the Lee and Mykland jump tests |
| Journal title: | Finance Research Letters |
| Volume: | 59 |
| Reference: | Nunes, 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 |
| ISSN: | 1544-6123 |
| DOI (Digital Object Identifier): | 10.1016/j.frl.2023.104814 |
| Keywords: | Extreme-value theory Gumbel law Folded normal distribution Jump detection |
| Abstract: | The 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. |
| Peerreviewed: | yes |
| Access type: | Open Access |
| Appears in Collections: | BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica |
Files in This Item:
| File | Size | Format | |
|---|---|---|---|
| article_100198.pdf | 605,2 kB | Adobe PDF | View/Open |
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