Testing for jumps when asset prices are observed with noise -- a ``swap variance approach
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Publication:295396
DOI10.1016/J.JECONOM.2008.04.009zbMATH Open1418.62382OpenAlexW3124788295MaRDI QIDQ295396FDOQ295396
George J. Jiang, Roel C. A. Oomen
Publication date: 13 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.04.009
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Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: hypothesis testing (62M07)
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Cited In (40)
- Dynamics of Intraday Serial Correlation in China's Stock Market
- Identifying Jumps in Asset Prices
- Realised quantile-based estimation of the integrated variance
- Cojumps and asset allocation in international equity markets
- High-frequency jump tests: which test should we use?
- 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?
- Forecasting and trading high frequency volatility on large indices
- Persistence of jump-induced tail risk and limits to arbitrage
- A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY
- The effect of infrequent trading on detecting price jumps
- Bias-correcting the realized range-based variance in the presence of market microstructure noise
- Measuring the relevance of the microstructure noise in financial data
- Second-order properties of thresholded realized power variations of FJA additive processes
- Testing and detecting jumps based on a discretely observed process
- Volatility measurement with pockets of extreme return persistence
- Testing whether jumps have finite or infinite activity
- Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
- Jumps or Staleness?
- The identification of price jumps
- Jump detection with wavelets for high-frequency financial time series
- Robust score and portmanteau tests of volatility spillover
- Testing for the presence of jump components in jump diffusion models
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- The term structure of equity and variance risk premia
- Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
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- EQUILIBRIUM ASSET AND OPTION PRICING UNDER JUMP DIFFUSION
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- Review of statistical approaches for modeling high-frequency trading data
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- Testing for jumps in noisy high frequency data
- Resolution of policy uncertainty and sudden declines in volatility
- Bootstrapping High-Frequency Jump Tests
- Detection of jumps in financial market
- Threshold bipower variation and the impact of jumps on volatility forecasting
- Bayesian Approach to Markov Switching Stochastic Volatility Model with Jumps
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