Jump Regressions

DOI10.3982/ECTA12962MaRDI QIDQ4612493zbMATH OpenOpenAlexFDO

Authors Jia Li, Viktor Todorov, George Tauchen

Publication date 31 January 2019

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3982/ecta12962

zbMATH Keywords

efficient estimationhigh-frequency datajumpsLAMNregressionsemimartingalespecification teststochastic volatility

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cited in

(35)

• Mixed-scale jump regressions with bootstrap inference
• Testing for mutually exciting jumps and financial flights in high frequency data
• Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book
• A rank test for the number of factors with high-frequency data
• Volatility coupling
• Measuring timeliness of annual reports filing by jump additive models
• A CLT for second difference estimators with an application to volatility and intensity
• in the tails
• Variation and efficiency of high-frequency betas
• Time-invariant restrictions of volatility functionals: efficient estimation and specification tests
• High-frequency factor models and regressions
• Estimation of jump tails
• scientific article; zbMATH DE number 1260471 (Why is no real title available?)
• Strong jump inversion
• A semi-parametric method for estimating the beta coefficients of the hidden two-sided asset return jumps
• Characterizing financial crises using high-frequency data
• Testing for jump spillovers without testing for jumps
• Bootstrapping high-frequency jump tests
• Time endogeneity and an optimal weight function in pre-averaging covariance estimation
• Inference for option panels in pure-jump settings
• Permutation‐based tests for discontinuities in event studies
• Stock co-jump networks
• HOW LARGE IS THE JUMP DISCONTINUITY IN THE DIFFUSION COEFFICIENT OF A TIME-HOMOGENEOUS DIFFUSION?
• Semiparametric Estimation in Continuous-Time: Asymptotics for Integrated Volatility Functionals with Small and Large Bandwidths
• Generalized Jump Regressions for Local Moments
• Systematic jump risk
• High-frequency volatility estimation and forecasting with a novel Bayesian LGI model
• Jump detection in high-frequency order prices
• Data-driven fixed-point tuning for truncated realized variations
• Cross-sectional dependence in idiosyncratic volatility
• Multiplicative factor model for volatility
• Nonparametric estimation of large spot volatility matrices for high-frequency financial data
• Detecting turning points in high-frequency financial data analysis
• High Frequency ANOVA that is Robust to Jumps, Microstructure Noise and Asynchronous Observation Times
• Detecting factors of quadratic variation in the presence of market microstructure noise

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