ore
15:00
presso Seminario II
We propose two nonparametric tests for investigating the pathwise
properties of a signal modeled as the sum of a Lévy process and a Brownian semimartingale. Using a nonparametric threshold estimator
for the continuous component of the quadratic variation, we design a test for the presence of a continuous martingale component in the process
and a test for establishing whether the jumps have finite or infinite variation, based on observations on a discrete time grid. We evaluate the performance of our tests using simulations of various stochastic models and use the tests to investigate the fine structure of the DM/USD exchange rate fluctuations and SPX futures prices. In both cases, our tests
reveal the presence of a non-zero Brownian component, combined with a finite variation jump component.
This is a joint work with Rama Cont (Univ. di Parigi 6).