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International market links and volatility transmission

Corradi, Valentina; Distaso, Walter; Fernandes, Marcelo - In: Journal of Econometrics 170 (2012) 1, pp. 117-141

measures of volatility, allowing for both microstructure noise and jumps. We establish the asymptotic normality of the test …

Persistent link: https://www.econbiz.de/10010664699

Estimating spot volatility with high-frequency financial data

Zu, Yang; Peter Boswijk, H. - In: Journal of Econometrics 181 (2014) 2, pp. 117-135

We construct a spot volatility estimator for high-frequency financial data which contain market microstructure noise. We prove consistency and derive the asymptotic distribution of the estimator. A data-driven method is proposed to select the scale parameter and the bandwidth parameter in the...

Persistent link: https://www.econbiz.de/10010785276

Testing for jumps in noisy high frequency data

Aït-Sahalia, Yacine; Jacod, Jean; Li, Jia - In: Journal of Econometrics 168 (2012) 2, pp. 207-222

statistic restores the test’s discriminating power between jumps and no jumps despite the presence of market microstructure …

Persistent link: https://www.econbiz.de/10011052312

Jumps in equilibrium prices and market microstructure noise

Lee, Suzanne S.; Mykland, Per A. - In: Journal of Econometrics 168 (2012) 2, pp. 396-406

nonparametric test which allows us to asymptotically remove the noise from observable price data and to discover jumps in … fundamental asset values. We provide its asymptotic distribution to decide when such jumps occur. In finite samples, our test … offers reasonable power for distinguishing between noise and jumps. Empirical evidence indicates that it is necessary to …

Persistent link: https://www.econbiz.de/10010574085

Jump tails, extreme dependencies, and the distribution of stock returns

Bollerslev, Tim; Todorov, Viktor; Li, Sophia Zhengzi - In: Journal of Econometrics 172 (2013) 2, pp. 307-324

. Our estimates are based on in-fill asymptotics for directly identifying the jumps, together with Extreme Value Theory (EVT … that the distributions of the systematic and idiosyncratic jumps are both generally heavy-tailed and close to symmetric …

Persistent link: https://www.econbiz.de/10011052337

Mutual excitation in Eurozone sovereign CDS

Aït-Sahalia, Yacine; Laeven, Roger J.A.; Pelizzon, Loriana - In: Journal of Econometrics 183 (2014) 2, pp. 151-167

). The feedback between jump events and the intensity of these jumps is the key element of the model. We derive closed …

Persistent link: https://www.econbiz.de/10011077597

Time-varying jump tails

Bollerslev, Tim; Todorov, Viktor - In: Journal of Econometrics 183 (2014) 2, pp. 168-180

We develop new methods for the estimation of time-varying risk-neutral jump tails in asset returns. In contrast to existing procedures based on tightly parameterized models, our approach imposes much fewer structural assumptions, relying on extreme-value theory approximations together with...

Persistent link: https://www.econbiz.de/10011077613

Multi-scale tests for serial correlation

Gençay, Ramazan; Signori, Daniele - In: Journal of Econometrics 184 (2015) 1, pp. 62-80

This paper introduces a new family of portmanteau tests for serial correlation. Using the wavelet transform, we decompose the variance of the underlying process into the variance of its low frequency and of its high frequency components and we design a variance ratio test of no serial...

Persistent link: https://www.econbiz.de/10011077599