A bootstrap test for jumps in financial economics

DOI10.1016/j.econlet.2014.08.024zbMath1310.91148OpenAlexW2003332237MaRDI QIDQ2343319

Dong Wan Shin, Eun-Ju Hwang

Publication date: 5 May 2015

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2014.08.024

zbMATH Keywords

jump-diffusion processrealized variationratio testrealized bipower variationi.i.d. bootstrap

Mathematics Subject Classification ID

Related Items (4)

Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity ⋮ A Lagrangian multiplier test for market microstructure noise with applications to sampling interval determination for realized volatilities ⋮ Bootstrap Type-1 Fuzzy Functions Approach for Time Series Forecasting ⋮ Forecasting the realized variance of the log-return of Korean won US dollar exchange rate addressing jumps both in stock-trading time and in overnight

Cites Work

• Stationary bootstrapping realized volatility under market microstructure noise
• Bootstrapping realized multivariate volatility measures
• Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
• Testing for jumps in a discretely observed process
• Estimating stochastic volatility diffusion using conditional moments of integrated volatility
• Efficient estimation of integrated volatility in presence of infinite variation jumps
• A remark on the rates of convergence for integrated volatility estimation in the presence of jumps
• Stationary bootstrapping realized volatility
• Bootstrapping Realized Volatility

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