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Two Tests for Jumps in High Frequency Financial Time Series : Simulation and Empirical Application
https://hue.repo.nii.ac.jp/records/778
https://hue.repo.nii.ac.jp/records/7787af9949d-af32-4fa6-9384-e395c05348ac
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
keizai2012350102.pdf (1.0 MB)
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| Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||||||||
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| 公開日 | 2023-02-28 | |||||||||||
| タイトル | ||||||||||||
| タイトル | Two Tests for Jumps in High Frequency Financial Time Series : Simulation and Empirical Application | |||||||||||
| 言語 | en | |||||||||||
| 言語 | ||||||||||||
| 言語 | eng | |||||||||||
| 資源タイプ | ||||||||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||||||||
| 資源タイプ | departmental bulletin paper | |||||||||||
| 著者 |
Maekawa, Koichi
× Maekawa, Koichi
× Lu, Xinhong
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| 抄録 | ||||||||||||
| 内容記述タイプ | Abstract | |||||||||||
| 内容記述 | We often observe significant discontinuous variations, so-called jumps, in financial time series but empirically it is not easy to distinguish between a large variation and a discontinuous jump. The two tests have been proposed for detecting jumps in continuous diffusion process by using discrete data of high frequency financial time series. One is proposed by Barndorff-Nielsen and Shephard (2006) and the other was proposed by Lee and Mykland (2008). The former test is aimed to see if a time series is a jump diff usion process. In other word it can detect whether the process contains jumps or not globally. On the other hand, the latter test can detect the local jump arrival time and the size of realized jump. In this article we briefly introduce the two tests, show the empirical applications results, and examine the performance and applicability of the two tests. Furthermore we examine the performance of LM test by Monte Carlo experiment and real data analysis in particular. | |||||||||||
| 書誌情報 |
広島経済大学経済研究論集 en : HUE Journal of Economics and Business 巻 35, 号 1, p. 11-20, 発行日 2012-06-30 |
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| 出版者 | ||||||||||||
| 出版者 | 広島経済大学経済学会 | |||||||||||
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| 収録物識別子タイプ | ISSN | |||||||||||
| 収録物識別子 | 0387-1436 | |||||||||||
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| 収録物識別子タイプ | NCID | |||||||||||
| 収録物識別子 | AN00212083 | |||||||||||
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| 内容記述タイプ | Other | |||||||||||
| 内容記述 | application/pdf | |||||||||||
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| 出版タイプ | VoR | |||||||||||
| 出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |||||||||||
