A bootstrap test for jumps in financial economics

An i.i.d. bootstrap is applied for the ratio test of Barndorff-Nielsen and Shephard (2006) for jumps in jump diffusion processes. Asymptotic validity is established for the bootstrap test both under the null of no jump and under the alternative of jumps. Finite sample simulation shows that the bootstrap test has more stable size than the ratio test of Barndorff-Nielsen and Shephard (2006).

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Year of publication:	2014
Authors:	Hwang, Eunju ; Shin, Dong Wan
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 125.2014, 1, p. 74-78
Publisher:	Elsevier
Subject:	i.i.d. bootstrap \| Jump diffusion process \| Ratio test \| Realized variation \| Realized bipower variation

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Type of publication:	Article
Classification:	C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011041571