Identifying Jumps in Financial Assets: A Comparison Between Nonparametric Jump Tests

被引：86

作者：

Dumitru, Ana-Maria ^{[1
,2
]}

Urga, Giovanni ^{[3
,4
]}

机构：

[1] Univ Surrey, Sch Econ, Fac Business Econ & Law, Guildford GU2 7XH, Surrey, England

[2] Univ Bergamo, Dept Econ & Technol Management, I-24044 Bergamo, Italy

[3] Cass Business Sch, Ctr Econometr Anal, Fac Finance, London, England

[4] Univ Bergamo, Hyman P Minsky Dept Econ Studies, I-24127 Bergamo, Italy

来源：

JOURNAL OF BUSINESS & ECONOMIC STATISTICS | 2012年 / 30卷 / 02期

关键词：

High-frequency data; Jumps; Monte Carlo simulations; Nonparametric tests; Stochastic volatility; VOLATILITY MODELS; DIFFUSION; NOISE;

D O I：

10.1080/07350015.2012.663250

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We perform a comprehensive Monte Carlo comparison between nine alternative procedures available in the literature to detect jumps in financial assets using high-frequency data. We evaluate size and power properties of the procedures under alternative sampling frequencies, persistence in volatility, jump size and intensity, and degree of contamination with microstructure noise. The overall best performance is shown by the Andersen, Bollerslev, and Dobrev (2007) and Lee and Mykland (2008) intraday procedures (ABD-LM), provided the price process is not very volatile. We propose two extensions to the existing battery of tests. The first regards the finite sample improvements based on simulated critical values for the ABD-LM procedure. The second regards a procedure that combines frequencies and tests able to reduce the number of spurious jumps. Finally, we report an empirical analysis using real high frequency data on five stocks listed in the New York Stock Exchange.

引用

页码：242 / 255

页数：14

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