(1.中央财经大学；2.横滨国立大学)

【摘要】由于存在边界检验和不可定义参数检验问题，检验跳跃现象的沃尔德、尤度比统计量都不再渐进服从正态分布（或卡方分布）。本文从Jump-EGARCH（N）和Jump-EGARCH(t)过程两个侧面，应用迪拉克·得鲁塔函数解决退化参数的微、积分计算的基础上，提议与不可定义参数无关的拉格朗日乘数检验统计量，并实施蒙特卡罗仿真实验和实证分析验证提议统计量的检验能力。

关键词  不可定义参数 迪拉克·德鲁塔函数 指数自回归条件异方差模型 跳跃过程  

中图分类号   F064.1      文献标识码    A

Testing for Jumps in Jump-EGARCH Processes

Abstract：The Wald test and the Likelihood ratio test containing nuisance parameters cannot follow normal distributions or chi-squared distributions, and then cannot be applied to test jumps. Based on Jump-EGARCH(N) or Jump-EGARCH(t) processes, dealing with differential and integral calculation for degenerative parameters by the Dirac´s Delta function, this paper proposes Lagrange Multiplier Tests which are free of nuisance parameters, and test their power by Monte Carlo experiments and illustrations for daily stock-return series of S&P 500 index.

Key words: Nuisance Parameter；Dirac´s Delta Function；EGARCH Model；Jump Process