Hellström, Jörgen and Lönnbark, Carl (2011): Identi�cation of jumps in �financial price series.
Download (149kB) | Preview
The paper outlines and tests, by means of Monte-Carlo simulations, a simple strategy of using existing non-parametric tests for jumps at the daily frequency to identify jumps at higher sampling frequencies. The suggested strategy allow for identi�cation of the number of jumps and jump times during a day, as well as, the size and direction (negative or positive) of the jumps. The method is of importance in order to facilitate detailed empirical studies concerning, for example, causes for jumps in fi�nancial price series at �ner levels than the daily. The Monte Carlo study reveals that the strategy works reasonably well, particular for lower jump intensities. An application of the studied strategy on the Handelsbanken stock is provided.
|Item Type:||MPRA Paper|
|Original Title:||Identi�cation of jumps in �financial price series|
|Keywords:||Financial econometrics, jumps, realized variance, bipower variation, stock price|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing; Trading volume; Bond Interest Rates
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C14 - Semiparametric and Nonparametric Methods: General
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: General
|Depositing User:||Carl Lönnbark|
|Date Deposited:||19. May 2011 13:27|
|Last Modified:||11. Feb 2013 12:01|
Andersen, T.G., Bollerslev, T. and Diebold, F.X. (2002). Parametric and Nonparametric Volatil- ity Measurement. In Y. Ait-Sahalia and L.P. Hansen (eds.), Handbook of Financial Econo- metrics. Amsterdam: North-Holland.
Barndor¤-Nielsen, O.E. and Shephard, N. (2004a). Measuring the Impact of Jumps on Mul- tivariate Price Processes Using Bipower Variation. Discussion paper, Nu¢ eld College, Oxford University.
Barndor¤-Nielsen, O.E. and Shephard, N. (2004b). Power and Bipower Variation with Stochastic Volatility and Jumps. Journal of Financial Econometrics 2, 1-37.
Barndor¤-Nielsen, O.E. and Shephard, N. (2005a). How Accurate is the Asymptotic Approxi- mation to the Distribution of Realized Volatility. Identi�cation and Inference for Econo- metric Models. Essays in Honor of Thomas Rothenberg, eds. Andrews, D.W.K, Powell, J.L, Ruud, P.A and Stock, J.H. Cambridge: Cambridge University Press.
Barndor¤-Nielsen, O.E. and Shephard, N. (2006). Econometrics of Testing for Jumps in Finan- cial Economics Using Bipower Variation. Journal of Financial Econometrics 4(1),1-30.
Bollerslev, T., Hann Law, T. and Tauchen, G. (2008). Risk, jumps, and diversi�cation. Journal of Econometrics 144, 234�256.
Christo¤ersen, P. (1998). Evaluating interval forecasts. International Economic Review 39, 841-862.
Huang, X. and Tauchen, G. (2005). The Relative Contribution of Jumps to Total Price Variance. Journal of Financial Econometrics 3(4), 456-499.
Lee, S.S. and Mykland, P.A. (2008). Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics. The Review of Financial Studies 6, 2535-2563. 15