Common price and volatility jumps in noisy high-frequency data
Statistics Theory
2018-06-12 v3 Statistics Theory
Abstract
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 estimators of volatility jumps at price jump arrival times are designed using a nonparametric spectral estimator of the spot volatility process. A simulation study and an empirical example with NASDAQ order book data demonstrate the practicability of the proposed methods and highlight the important role played by price volatility co-jumps.
Keywords
Cite
@article{arxiv.1407.4376,
title = {Common price and volatility jumps in noisy high-frequency data},
author = {Markus Bibinger and Lars Winkelmann},
journal= {arXiv preprint arXiv:1407.4376},
year = {2018}
}