Econometrics of testing for jumps in financial economics using bipower variation.
In this paper we provide an asymptotic distribution theory for some non-parametric tests of the hypothesis that asset prices have continuous sample paths. We study the behaviour of the tests using simulated data and see that certain versions of the tests have good finite sample behaviour. We also ap...
| Main Authors: | , |
|---|---|
| Format: | Working paper |
| Language: | English |
| Published: |
Nuffield College (University of Oxford)
2003
|
| _version_ | 1797073512023719936 |
|---|---|
| author | Barndorff-Nielsen, O Shephard, N |
| author_facet | Barndorff-Nielsen, O Shephard, N |
| author_sort | Barndorff-Nielsen, O |
| collection | OXFORD |
| description | In this paper we provide an asymptotic distribution theory for some non-parametric tests of the hypothesis that asset prices have continuous sample paths. We study the behaviour of the tests using simulated data and see that certain versions of the tests have good finite sample behaviour. We also apply the tests to exchange rate data and show that the null of a continuous sample path is frequently rejected. Most of the jumps the statistics identify are associated with governmental macroeconomic announcements. |
| first_indexed | 2024-03-06T23:23:15Z |
| format | Working paper |
| id | oxford-uuid:69814686-bf28-49b0-981a-7a08317396b8 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-06T23:23:15Z |
| publishDate | 2003 |
| publisher | Nuffield College (University of Oxford) |
| record_format | dspace |
| spelling | oxford-uuid:69814686-bf28-49b0-981a-7a08317396b82022-03-26T18:51:24ZEconometrics of testing for jumps in financial economics using bipower variation.Working paperhttp://purl.org/coar/resource_type/c_8042uuid:69814686-bf28-49b0-981a-7a08317396b8EnglishDepartment of Economics - ePrintsNuffield College (University of Oxford)2003Barndorff-Nielsen, OShephard, NIn this paper we provide an asymptotic distribution theory for some non-parametric tests of the hypothesis that asset prices have continuous sample paths. We study the behaviour of the tests using simulated data and see that certain versions of the tests have good finite sample behaviour. We also apply the tests to exchange rate data and show that the null of a continuous sample path is frequently rejected. Most of the jumps the statistics identify are associated with governmental macroeconomic announcements. |
| spellingShingle | Barndorff-Nielsen, O Shephard, N Econometrics of testing for jumps in financial economics using bipower variation. |
| title | Econometrics of testing for jumps in financial economics using bipower variation. |
| title_full | Econometrics of testing for jumps in financial economics using bipower variation. |
| title_fullStr | Econometrics of testing for jumps in financial economics using bipower variation. |
| title_full_unstemmed | Econometrics of testing for jumps in financial economics using bipower variation. |
| title_short | Econometrics of testing for jumps in financial economics using bipower variation. |
| title_sort | econometrics of testing for jumps in financial economics using bipower variation |
| work_keys_str_mv | AT barndorffnielseno econometricsoftestingforjumpsinfinancialeconomicsusingbipowervariation AT shephardn econometricsoftestingforjumpsinfinancialeconomicsusingbipowervariation |