HIGHLIGHTS
- who: JEL classification, C and Simon, Kwok from the School of Economics, The University of Sydney, Australia have published the research work: A Consistent and Robust Test for Autocorrelated Jump Occurrences*, in the Journal: (JOURNAL) of March/19,/2008
- what: The authors develop a nonparametric test for the temporal dependence of jump occurrences in the population. Motivated by the problems discussed above, the authors propose a set of procedures that deliver robust inference on the autocorrelation of jump occurrences for all possible degree of jump activity and for a wide range of empirically relevant sampling . . .
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