SSRNML & AI Methods
Jump Components in Jump Diffusion Models
A proposed nonparametric test can determine if a jump diffusion process contains a jump component or is a diffusion, with the test statistic showing standard normal distribution if there are no jumps.
Featured in No. 38 on 21 Feb 2024 ·
- Released
- 2 Jul 2021
- First featured
- No. 38 · 21 Feb 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4732803
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