Testing for jumps in a discretely observed process
From MaRDI portal
Publication:1002155
DOI10.1214/07-AOS568zbMATH Open1155.62057arXiv0903.0226MaRDI QIDQ1002155FDOQ1002155
Yacine Aït-Sahalia, Jean Jacod
Publication date: 25 February 2009
Published in: The Annals of Statistics (Search for Journal in Brave)
Abstract: We propose a new test to determine whether jumps are present in asset returns or other discretely sampled processes. As the sampling interval tends to 0, our test statistic converges to 1 if there are jumps, and to another deterministic and known value (such as 2) if there are no jumps. The test is valid for all It^{o} semimartingales, depends neither on the law of the process nor on the coefficients of the equation which it solves, does not require a preliminary estimation of these coefficients, and when there are jumps the test is applicable whether jumps have finite or infinite-activity and for an arbitrary Blumenthal--Getoor index. We finally implement the test on simulations and asset returns data.
Full work available at URL: https://arxiv.org/abs/0903.0226
Recommendations
Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Markov processes: hypothesis testing (62M02) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Diffusion processes (60J60) Generalizations of martingales (60G48) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
Cites Work
- Asymptotic properties of realized power variations and related functionals of semimartingales
- Title not available (Why is that?)
- Volatility estimators for discretely sampled Lévy processes
- Modeling and Forecasting Realized Volatility
- Asymptotic error distributions for the Euler method for stochastic differential equations
- Title not available (Why is that?)
- La variation d'ordre p des semi-martingales
- A central limit theorem for realised power and bipower variation of continuous semimartingales
- Limit theorems for multipower variation in the presence of jumps
- Analyzing the Fine Structure of Continuous Time Stochastic Processes
- Power and multipower variation: inference for high frequency data
Cited In (only showing first 100 items - show all)
- Testing for volatility jumps in the stochastic volatility process
- Inference for time-varying lead-lag relationships from ultra-high-frequency data
- Generalized Ait-Sahalia-type interest rate model with Poisson jumps and convergence of the numerical approximation
- Testing the volatility jumps based on the high frequency data
- Testing for jumps in the stochastic volatility models
- Dynamics of Intraday Serial Correlation in China's Stock Market
- Optimally thresholded realized power variations for Lévy jump diffusion models
- Simulation-based exact jump tests in models with conditional heteroskedasticity
- From Markov processes to semimartingales
- On detecting changes in the jumps of arbitrary size of a time-continuous stochastic process
- Estimating the integrated volatility using high-frequency data with zero durations
- Forecasting and trading high frequency volatility on large indices
- Asymptotic inference about predictive accuracy using high frequency data
- Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions
- Effects of jumps and small noise in high-frequency financial econometrics
- Functional Relationships Between Price and Volatility Jumps and Their Consequences for Discretely Observed Data
- Testing for simultaneous jumps in case of asynchronous observations
- High-frequency analysis of parabolic stochastic PDEs
- The effect of infrequent trading on detecting price jumps
- Title not available (Why is that?)
- Time-invariant restrictions of volatility functionals: efficient estimation and specification tests
- Testing for diffusion in a discretely observed semimartingale
- Second-order properties of thresholded realized power variations of FJA additive processes
- Testing and detecting jumps based on a discretely observed process
- A new microstructure noise index
- Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility
- The identification of price jumps
- Parametric inference for discretely observed subordinate diffusions
- Reweighted Nadaraya-Watson estimation of jump-diffusion models
- Empirical likelihood inference for diffusion processes with jumps
- Semimartingale: Itô or not ?
- How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?
- Modelling systemic price cojumps with Hawkes factor models
- Large deviations of the threshold estimator of integrated (co-)volatility vector in the presence of jumps
- Spot volatility estimation using delta sequences
- Nonparametric estimation of jump diffusion models
- Estimating spot volatility with high-frequency financial data
- A splitting strategy for the calibration of jump-diffusion models
- NON‐PARAMETRIC ESTIMATION OF HIGH‐FREQUENCY SPOT VOLATILITY FOR BROWNIAN SEMIMARTINGALE WITH JUMPS
- The fine structure of equity-index option dynamics
- Estimation of the Hurst parameter in the simultaneous presence of jumps and noise
- `Purposely misspecified' posterior inference on the volatility of a jump diffusion process
- Detecting price jumps in the presence of market microstructure noise
- Jumps and betas: a new framework for disentangling and estimating systematic risks
- Large deviations of realized volatility
- Resolution of policy uncertainty and sudden declines in volatility
- Testing for self-excitation in jumps
- Testing for non-correlation between price and volatility jumps
- Bootstrapping High-Frequency Jump Tests
- Pricing and hedging contingent claims using variance and higher order moment swaps
- On the estimation of regime-switching Lévy models
- Bayesian Approach to Markov Switching Stochastic Volatility Model with Jumps
- Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach
- On the threshold dividend strategy for a generalized jump-diffusion risk model
- Confidence interval of the jump activity index based on empirical likelihood using high frequency data
- Threshold selection in jump-discriminant filter for discretely observed jump processes
- Small-time expansions for local jump-diffusion models with infinite jump activity
- Identifying the successive Blumenthal-Getoor indices of a discretely observed process
- Realised quantile-based estimation of the integrated variance
- Goodness-of-fit test for interest rate models: an approach based on empirical processes
- Stochastic volatility and stochastic leverage
- Estimation of Correlation for Continuous Semimartingales
- Estimating the degree of activity of jumps in high frequency data
- Asymptotic lower bounds in estimating jumps
- Asymptotic properties of realized power variations and related functionals of semimartingales
- Testing for jumps based on high-frequency data: a method exploiting microstructure noise
- Increased correlation among asset classes: are volatility or jumps to blame, or both?
- A bootstrap test for jumps in financial economics
- ESTIMATING THE QUADRATIC VARIATION SPECTRUM OF NOISY ASSET PRICES USING GENERALIZED FLAT-TOP REALIZED KERNELS
- Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps
- Subsampling high frequency data
- Functional estimation for Lévy measures of semimartingales with Poissonian jumps
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
- Risk, jumps, and diversification
- Asymptotics for functionals of self-normalized residuals of discretely observed stochastic processes
- Local Linear Estimation of Recurrent Jump—Diffusion Models
- The Estimation of Leverage Effect With High-Frequency Data
- Asymptotic results for time-changed Lévy processes sampled at hitting times
- Testing for jumps when asset prices are observed with noise -- a ``swap variance approach
- Goodness-of-fit based on downsampling with applications to linear drift diffusions
- Bipower-type estimation in a noisy diffusion setting
- Limit theorems for moving averages of discretized processes plus noise
- The Gumbel test and jumps in the volatility process
- Realized wavelet-based estimation of integrated variance and jumps in the presence of noise
- Between data cleaning and inference: pre-averaging and robust estimators of the efficient price
- An oracle inequality for penalised projection estimation of Lévy densities from high-frequency observations
- Central limit theorems for the non-parametric estimation of time-changed Lévy models
- Bandwidth selection of nonparametric threshold estimator in jump-diffusion models
- Optimal iterative threshold-kernel estimation of jump diffusion processes
- Testing long memory based on a discretely observed process
- Short-time at-the-money skew and rough fractional volatility
- Jumps in equilibrium prices and market microstructure noise
- Efficient estimation of integrated volatility incorporating trading information
- Wasserstein and total variation distance between marginals of Lévy processes
- Testing whether jumps have finite or infinite activity
- On the jump activity index for semimartingales
- Realized jumps on financial markets and predicting credit spreads
- Nonparametric tests for pathwise properties of semimartingales
- Testing the local volatility assumption: a statistical approach
- Jump detection with wavelets for high-frequency financial time series
This page was built for publication: Testing for jumps in a discretely observed process
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1002155)
