Conference Agenda
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Statistics for Stochastic Processes Location: 0.002 Session Chair: Fabian Mies | |
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A nonparametric statistic for rank changes of volatility functions of Ito semimartingales Christian-Albrechts-Universität, Germany The change of the rank of the volatility function in Ito semimartingales poses a complicated signal-detection problem. In their paper from 2013 Jacod & Podolskij have derived a statistic to detect whether the rank of the volatility function is constant over the observation period. Based on their results we develop a statistic which allows us to detect local jumps in the rank which is based on random perturbation of the high-frequency observations on an Ito semimartingale. This statistic can be used to estimate the time points at which the rank jumps occur. We illustrate our results with some simulated data. | |
