How Successful Are Wavelets in Detecting Jumps?
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Tarih
2017-12
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
MDPI AG
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
We evaluate the performances of wavelet jump detection tests by using simulated high-frequency data, in which jumps and some other non-standard features are present. Wavelet-based jump detection tests have a clear advantage over the alternatives, as they are capable of stating the exact timing and number of jumps. The results indicate that, in addition to those advantages, these detection tests also preserve desirable power and size properties even in non-standard data environments, whereas their alternatives fail to sustain their desirable properties beyond standard data features.
Açıklama
Anahtar Kelimeler
wavelet decomposition, jumps, jump tests
Kaynak
ENTROPY
WoS Q Değeri
Q2
Scopus Q Değeri
Q2
