Testing for the Presence of Common Jumps

Abstract

At the beginning of Chapter 8 we discussed that when modelling a univariate process in continuous time one has to decide whether to incorporate a jump component or not. The same problem occurs in a multivariate setting where multiple processes should be modelled at once. In the situation where a multivariate model with jumps has to be specified, not only the individual jump components have to be characterized but also the dependence structure of the individual jump components has to be modelled.