Simulation-Based Exact Tests in Jump-Diffusion Models in the Presence of Unidentified Nuisance Parameters: an Application to Commodity Spot Prices

Lynda Khalaf, J. Saphores and J.F. Bilodeau

Working Papers from Laval - Recherche en Energie

Abstract: We use the Monte-Carlo (MC) test technique to find valid p-values when testing for discontinuities in jump-diffusion models. While the distribution of the LR statistic for this test is typically non-standard, we show that the MC p-value is finite sample exact if no other (identified) nuisance parameter is present. Otherwise, we derive nuisance-parameter free bounds and obtain exact bounds p-values. We illustrate our approach on four classes of jump-diffusion models we use to model spot prices of copper, nickel, golds, and crude oil. We find significant jumps in all weekly time series and in a few monthly time series.

Keywords: TESTS; ECONOMIC MODELS (search for similar items in EconPapers)
JEL-codes: C13 C15 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2000
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fth:lavaen:00-04

Access Statistics for this paper

More papers in Working Papers from Laval - Recherche en Energie UNIVERSITE LAVAL, GREEN, DEPARTEMENT D'ECONOMIQUE, QUEBEC G1K 7P4.. Contact information at EDIRC.
Bibliographic data for series maintained by Thomas Krichel ().