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We propose a technique to avoid spurious detections of jumps in highfrequency data via an explicit thresholding on available test statistics.

BAJGROWICZ, Pierre; SCAILLET, Olivier

in nite samples. In Dow Jones stocks, spurious detections represent up to 50% of the jumps detected initially between … 2006 and 2008. For the majority of stocks, jumps do not cluster in time and no cojump aects all stocks simultaneously …, suggesting jump risk is diversiable. We relate the remaining jumps to macroeconomic news, prescheduled company …

Persistent link: https://www.econbiz.de/10010680442

Testing for cojumps in high-frequency financial data : an approach based on first-high-low-last prices

Liao, Yin; Anderson, Heather M. - In: Journal of banking & finance 99 (2019), pp. 252-274

Persistent link: https://www.econbiz.de/10012162415

Sluggish news reactions: a combinatorial approach for synchronizing stock jumps

Bouamara, Nabil; Boudt, Kris; Laurent, Sébastien; … - 2024

Persistent link: https://www.econbiz.de/10014521306

Fed-driven systemic tail risk : high-frequency measurement, evidence and implications

Erdemlioglu, Deniz; Neely, Christopher J.; Yang, Xiye - 2025

Persistent link: https://www.econbiz.de/10014320683

Mixed-scale jump regressions with bootstrap inference

Li, Jia; Todorov, Viktor; Tauchen, George Eugene; Chen, Rui - In: Journal of econometrics 201 (2017) 2, pp. 417-432

Persistent link: https://www.econbiz.de/10011920538

Jump regressions

Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 1, pp. 173-195

Persistent link: https://www.econbiz.de/10011738476

Jump factor models in large cross‐sections

Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Quantitative economics : QE ; journal of the … 10 (2019) 2, pp. 419-456

of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of …

Persistent link: https://www.econbiz.de/10012042424

Volume, volatility, and public news announcements

Bollerslev, Tim; Li, Jia; Xue, Yuan - In: The review of economic studies 85 (2018) 4/305, pp. 2005-2041

Persistent link: https://www.econbiz.de/10012263342

Generalized jump regressions for local moments

Bollerslev, Tim; Li, Jia; Chaves, Leonardo Salim Saker - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 1015-1025

Persistent link: https://www.econbiz.de/10012653221

Intraday analysis of macroeconomic news surprises and asymmetries in mini-futures markets

Vortelinos, Dimitrios I.; Koulakiotis, Athanasios; … - In: Research in international business and finance 39 (2017), pp. 150-168

Persistent link: https://www.econbiz.de/10011876457