How Successful Are Wavelets in Detecting Jumps?
AbstractWe 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. View Full-Text
Share & Cite This Article
Eroğlu, B.A.; Gençay, R.; Yazgan, M.E. How Successful Are Wavelets in Detecting Jumps? Entropy 2017, 19, 638.
Eroğlu BA, Gençay R, Yazgan ME. How Successful Are Wavelets in Detecting Jumps? Entropy. 2017; 19(12):638.Chicago/Turabian Style
Eroğlu, Burak A.; Gençay, Ramazan; Yazgan, M. E. 2017. "How Successful Are Wavelets in Detecting Jumps?" Entropy 19, no. 12: 638.
Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.