Econometrics of testing for jumps in financial economics using bipower variation
In this article we provide an asymptotic distribution theory for some nonparametric 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 behavior. We also ap...
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| Format: | Journal article |
| Language: | English |
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Oxford University Press
2005
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| _version_ | 1826288236194955264 |
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| author | Barndorff-Nielsen, O Shephard, N |
| author_facet | Barndorff-Nielsen, O Shephard, N |
| author_sort | Barndorff-Nielsen, O |
| collection | OXFORD |
| description | In this article we provide an asymptotic distribution theory for some nonparametric 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 behavior. 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 | 2024-03-07T02:10:40Z |
| format | Journal article |
| id | oxford-uuid:a08705b9-357c-4f48-ad92-6752e3596250 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-07T02:10:40Z |
| publishDate | 2005 |
| publisher | Oxford University Press |
| record_format | dspace |
| spelling | oxford-uuid:a08705b9-357c-4f48-ad92-6752e35962502022-03-27T02:06:11ZEconometrics of testing for jumps in financial economics using bipower variationJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:a08705b9-357c-4f48-ad92-6752e3596250EconometricsEconomicsFinancial economicsEnglishOxford University Research Archive - ValetOxford University Press2005Barndorff-Nielsen, OShephard, NIn this article we provide an asymptotic distribution theory for some nonparametric 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 behavior. 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 | Econometrics Economics Financial economics 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 |
| topic | Econometrics Economics Financial economics |
| work_keys_str_mv | AT barndorffnielseno econometricsoftestingforjumpsinfinancialeconomicsusingbipowervariation AT shephardn econometricsoftestingforjumpsinfinancialeconomicsusingbipowervariation |