Two Tests for Jumps in High Frequency Financial Time Series : Simulation and Empirical Application

URI http://harp.lib.hiroshima-u.ac.jp/hue/metadata/10541
ファイル
タイトル
Two Tests for Jumps in High Frequency Financial Time Series : Simulation and Empirical Application
著者
氏名 Maekawa Koichi
ヨミ マエカワ コウイチ
別名 前川 功一
氏名 Lu Xinhong
ヨミ
別名
抄録

We often observe significant discontinuous variations, so-called jumps, in financial time series but empirically it is not easy to distinguish between a large variation and a discontinuous jump. The two tests have been proposed for detecting jumps in continuous diffusion process by using discrete data of high frequency financial time series. One is proposed by Barndorff-Nielsen and Shephard (2006) and the other was proposed by Lee and Mykland (2008). The former test is aimed to see if a time series is a jump diff usion process. In other word it can detect whether the process contains jumps or not globally. On the other hand, the latter test can detect the local jump arrival time and the size of realized jump. In this article we briefly introduce the two tests, show the empirical applications results, and examine the performance and applicability of the two tests. Furthermore we examine the performance of LM test by Monte Carlo experiment and real data analysis in particular.

掲載雑誌名
広島経済大学経済研究論集
35
1
開始ページ
11
終了ページ
20
出版年月日
2012-06
出版者
広島経済大学経済学会
ISSN
0387-1436
NCID
AN00212083
本文言語
英語
資料タイプ
紀要論文
著者版フラグ
出版社版
旧URI
区分
hue