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Journal of the American Statistical Association Volume 104, 2009 - Issue 487
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Theory and Methods

Nonparametric Transition-Based Tests for Jump Diffusions

Yacine Aït-Sahalia Yacine Aït-Sahalia is Otto A. Hack 1903 Professor of Finance and Economics, Department of Economics, Princeton University, Princeton, NJ 08544 . Jianqing Fan is Frederick L. Moore Professor of Finance and Statistics, Department of Operation Research and Financial Engineering, Princeton University, Princeton, NJ 08544 and Honorary Professor, Shanghai University of Finance and Economics, Shanghai, China . Heng Peng is Assistant Professor, Department of Mathematics, Hong Kong Baptist University, Kowloon Tong, Hong Kong . Aït-Sahalia’s research is supported by National Science Foundation (NSF) grants DMS-0532370 and SES-0350772. Fan’s research is supported by NSF grants DMS-0532370, DMS-0355179, and DMS-0354223. Peng’s research is supported by a CERG grant from the Hong Kong Research Grant Council (HKBU 201707), a grant from Hong Kong Baptist University (FRG/06-07/II-14), and a grant from the National Nature Science Foundation of China (NNSF 10871054).
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Jianqing Fan Yacine Aït-Sahalia is Otto A. Hack 1903 Professor of Finance and Economics, Department of Economics, Princeton University, Princeton, NJ 08544 . Jianqing Fan is Frederick L. Moore Professor of Finance and Statistics, Department of Operation Research and Financial Engineering, Princeton University, Princeton, NJ 08544 and Honorary Professor, Shanghai University of Finance and Economics, Shanghai, China . Heng Peng is Assistant Professor, Department of Mathematics, Hong Kong Baptist University, Kowloon Tong, Hong Kong . Aït-Sahalia’s research is supported by National Science Foundation (NSF) grants DMS-0532370 and SES-0350772. Fan’s research is supported by NSF grants DMS-0532370, DMS-0355179, and DMS-0354223. Peng’s research is supported by a CERG grant from the Hong Kong Research Grant Council (HKBU 201707), a grant from Hong Kong Baptist University (FRG/06-07/II-14), and a grant from the National Nature Science Foundation of China (NNSF 10871054).
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Heng Peng Yacine Aït-Sahalia is Otto A. Hack 1903 Professor of Finance and Economics, Department of Economics, Princeton University, Princeton, NJ 08544 . Jianqing Fan is Frederick L. Moore Professor of Finance and Statistics, Department of Operation Research and Financial Engineering, Princeton University, Princeton, NJ 08544 and Honorary Professor, Shanghai University of Finance and Economics, Shanghai, China . Heng Peng is Assistant Professor, Department of Mathematics, Hong Kong Baptist University, Kowloon Tong, Hong Kong . Aït-Sahalia’s research is supported by National Science Foundation (NSF) grants DMS-0532370 and SES-0350772. Fan’s research is supported by NSF grants DMS-0532370, DMS-0355179, and DMS-0354223. Peng’s research is supported by a CERG grant from the Hong Kong Research Grant Council (HKBU 201707), a grant from Hong Kong Baptist University (FRG/06-07/II-14), and a grant from the National Nature Science Foundation of China (NNSF 10871054).
Pages 1102-1116 | Received 01 Apr 2008, Published online: 01 Jan 2012

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