Testing the presence of a Brownian component in semimartingale processes / Testando a presença do componente browniano em processos semimartingales

AUTOR(ES)

Willian Hatsushika Yamamoto

DATA DE PUBLICAÇÃO

2010

RESUMO

This paper attempts to test the presence of Brownian motion, ie a continuous component in semimartingales processes. We study procedures that allow to decide whether Brownian motion is actually present or whether it could be withdrawn in favor of a pure jump process with infinite activity. We used two statistical tests proposed in the article: Ait-Sahal and Jacod (2010), one has as the null hypothesis: the continuous component is present and the other that this component is missing. Both statistical tests provide a symmetrical treatment of the null and alternative and are free of model and easy to implement. When applied to high frequency data of Brazilian assets, we obtained evidence on the need of the Brownian component to model

ASSUNTO(S)

processos de saltos jump process movimento browniano browniano motion semimartingales process high frequency data dados de alta freqüência processo semimartingale economia lévy process processo de lévy

Documentos Relacionados

• Study of techniques of operational modal analysis in the presence of random excitations and harmonic component
• Brownian flocculation of polymer colloids in the presence of a secondary minimum
• Testing the Fisher hypothesis in Brasil
• Padrões e processos ecológicos do componente arbóreo em uma área de floresta estacional semidecidual (Araguari, MG)
• EXTENSÃO DA COMPONENTE CÍCLICA DO MODELO ESTRUTURAL