Related papers: High-Frequency Jump Tests: Which Test Should We Us…
We introduce a statistical test for simultaneous jumps in the price of a financial asset and its volatility process. The proposed test is based on high-frequency data and is robust to market microstructure frictions. For the test, local…
Pure-jump processes have been increasingly popular in modeling high-frequency financial data, partially due to their versatility and flexibility. In the meantime, several statistical tests have been proposed in the literature to check the…
It is generally accepted that the asset price processes contain jumps. In fact, pure jump models have been widely used to model asset prices and/or stochastic volatilities. The question is: is there any statistical evidence from the…
In this paper, we are interested in testing if the volatility process is constant or not during a given time span by using high-frequency data with the presence of jumps and microstructure noise. Based on estimators of integrated volatility…
This paper shows that jumps in financial asset prices are often erroneously identified and are, in fact, rare events accounting for a very small proportion of the total price variation. We apply new econometric techniques to a comprehensive…
We investigate the utility in employing asymptotic results related to a clustering criterion to the problem of testing for the presence of jumps in financial models. We consider the Jump Diffusion model for option pricing and demonstrate…
Using recent advances in the econometrics literature, we disentangle from high frequency observations on the transaction prices of a large sample of NYSE stocks a fundamental component and a microstructure noise component. We then relate…
Jumps and market microstructure noise are stylized features of high-frequency financial data. It is well known that they introduce bias in the estimation of volatility (including integrated and spot volatilities) of assets, and many methods…
It is quite common in modern research, for a researcher to test many hypotheses. The statistical (frequentist) hypothesis testing framework, does not scale with the number of hypotheses in the sense that naively performing many hypothesis…
In this paper we propose several variants to perform the independence test between two random elements based on recurrence rates. We will show how to calculate the test statistic in each one of these cases. From simulations we obtain that…
We study the estimation of leverage effect and volatility of volatility by using high-frequency data with the presence of jumps. We first construct spot volatility estimator by using the empirical characteristic function of the…
This paper examines how regulatory interventions in high-frequency financial markets affect price discovery. We focus on Breaking news, where dynamic circuit breakers trigger trading halts immediately after the release of macroeconomic…
We consider a process $X_t$, which is observed on a finite time interval $[0,T]$, at discrete times $0,\Delta_n,2\Delta_n,\ldots.$ This process is an It\^{o} semimartingale with stochastic volatility $\sigma_t^2$. Assuming that $X$ has…
We define a generalized index of jump activity, propose estimators of that index for a discretely sampled process and derive the estimators' properties. These estimators are applicable despite the presence of Brownian volatility in the…
We present an extension to the robust phase estimation protocol, which can identify incorrect results that would otherwise lie outside the expected statistical range. Robust phase estimation is increasingly a method of choice for…
In order to understand the origin of stock price jumps, we cross-correlate high-frequency time series of stock returns with different news feeds. We find that neither idiosyncratic news nor market wide news can explain the frequency and…
The following questions are discussed: ``Why confidence intervals are a hot topic?''; ``Are confidence intervals objective?''; ``What is the usefulness of coverage?''; ``How to obtain useful information from experiment?''; ``The confidence…
Inference and hypothesis testing are typically constructed on the basis that a specific model holds for the data. To determine the veracity of conclusions drawn from such data analyses, one must be able to identify the presence of the…
Everything that exists has a natural frequency; this material characteristic is something that must be known and fully understood. If we fail to predict, measure, and address potential natural frequency concerns, it could significantly…
Based on a continuous-time stochastic volatility model with a linear drift, we develop a test for explosive behavior in financial asset prices at a low frequency when prices are sampled at a higher frequency. The test exploits the…