Econometrics of co-jumps in high-frequency data with noise
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Publication:2343752
DOI10.1016/J.JECONOM.2014.10.004zbMATH Open1331.91200arXiv1407.4376OpenAlexW2012446887MaRDI QIDQ2343752FDOQ2343752
Authors: Markus Bibinger, Lars Winkelmann 
Publication date: 6 May 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Abstract: We introduce a statistical test for simultaneous jumps in the price of a financial asset and its volatility process. The proposed test is based on high-frequency data and is robust to market microstructure frictions. For the test, local estimators of volatility jumps at price jump arrival times are designed using a nonparametric spectral estimator of the spot volatility process. A simulation study and an empirical example with NASDAQ order book data demonstrate the practicability of the proposed methods and highlight the important role played by price volatility co-jumps.
Full work available at URL: https://arxiv.org/abs/1407.4376
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Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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Cited In (30)
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