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Testing for Jumps in a Discretely Observed Price Process with Endogenous Sampling Times

Li, Yifan; Nolte, Ingmar; Nolte (Lechner), Sandra; Yu, … - 2021

We propose a new nonparametric test to determine whether finite-activity jumps are present in a discretely observed price process. For a univariate Itô semimartingale, we introduce the concept of censored increments for observations recursively sampled at exit times with respect to a symmetric...

Persistent link: https://www.econbiz.de/10013321639

Assessment of Uncertainty in High Frequency Data : The Observed Asymptotic Variance

Mykland, Per A. - 2016

The availability of high frequency financial data has generated a series of estimators based on intra-day data, improving the quality of large areas of financial econometrics. However, estimating the standard error of these estimators is often challenging. The root of the problem is that...

Persistent link: https://www.econbiz.de/10013006101

Realized Volatility When Sampling Times are Possibly Endogenous

Li, Yingying - 2013

for the Realized Volatility in a general endogenous time setting. We also establish a central limit theorem for the …

Persistent link: https://www.econbiz.de/10013095254

The Impacts of Futures Introduction on Spot Market Volatility : Evidence from the Bitcoin Market

Zhang, Chuanhai; Ma, Huan; ARKORFUL, GIDEON BRUCE; Peng, Zhe - 2021

The impact of Bitcoin futures introduction on the underlying Bitcoin volatility has been a controversial topic … the impacts of Bitcoin futures trading on spot market volatility in the short and long run. Using exponential GARCH model …, we introduce a dummy in the variance equation to capture the changes in the volatility before and after the introduction …

Persistent link: https://www.econbiz.de/10013215325

Market Instability and Technical Trading at High Frequency : Evidence from NASDAQ Stocks

Erdemlioglu, Deniz; Petitjean, Mikael; Vargas, Nicolas - 2021

. While the literature has widely shown that exogenous news releases trigger these jumps, very little is known about the …. Our results support the view that the explanations for intraday market instability are not limited to news releases …

Persistent link: https://www.econbiz.de/10014088061

Jumps in Equilibrium Prices and Market Microstructure Noise

Lee, Suzanne S. - 2012

Asset prices observed in financial markets combine equilibrium prices and market microstructure noise. In this paper, we study how to tell apart large shifts in equilibrium prices from noise using high frequency data. We propose a new nonparametric test which allows us to asymptotically remove...

Persistent link: https://www.econbiz.de/10013115585

Spot Variance Path Estimation and Its Application to High Frequency Jump Testing

Bos, Charles S. - 2009

This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the presence of diurnal variance patterns, jumps, leverage effects and microstructure noise. We rely on parametric and nonparametric methods. The estimated spot variance path can be used...

Persistent link: https://www.econbiz.de/10013153285

Spot variance path estimation and its application to high frequency jump testing

Bos, Charles S.; Janus, Paweł; Koopman, Siem Jan - 2009

Persistent link: https://www.econbiz.de/10011379469

Revisiting the Fractional Cointegrating Dynamics of Implied-Realized Volatility Relation with Wavelet Band Spectrum Regression

Baruník, Jozef - 2013

This paper revisits the fractional cointegrating relationship between ex-ante implied volatility and ex-post realized … volatility. We argue that the concept of corridor implied volatility (CIV) should be used instead of the popular model …-free option-implied volatility (MFIV) when assessing the fractional cointegrating relation as the latter may introduce bias to the …

Persistent link: https://www.econbiz.de/10013090381

Jumps and Liquidity in the U.S. Stock Market

Goel, Rohit; Malik, Sheheryar - 2021

We use a new framework to analyze the liquidity trends in the US equity markets, based on the intra-day price trend. The analysis suggests that the proportion of daily price variation explained by jumps (either small or large) is at a historical low. Furthermore while small jumps (which are...

Persistent link: https://www.econbiz.de/10013231619