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 We study procedures that allow to decide whether Brownian motion is actually present or whether it could be withdrawn in favor of a pure jump process with infinite activity.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
ACESSO AO ARTIGO
http://tede.ibmecsp.edu.br/tde_busca/arquivo.php?codArquivo=178Documentos Relacionados
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