Daisuke Kurisu, Assistant Professor, receives the Hosoya prize

Daisuke Kurisu, Assistant Professor, received the Hosoya prize.

*Author

Daisuke Kurisu

*Paper title

Power variations and testing for co-jumps: the small noise approach

*Journal

Scandinavian Journal of Statistics, Vol. 45 (2018), 482-512.

*DOI

10.1111/sjos.12309

In this paper some testing procedures for detecting jumps of Ito-semimartingales, which are often used as asset price models, are developed under noisy high-frequency observations. Simulation results show that the proposed methods have good finite sample performance.

• Researcher Profile (STAR Search) - Daisuke Kurisu