Econometrics of co-jumps in high-frequency data with noise

Markus Bibinger and Lars Winkelmann

Journal of Econometrics, 2015, vol. 184, issue 2, 361-378

Abstract: We establish estimation methods to determine co-jumps in multivariate high-frequency data with non-synchronous observations and market microstructure. A rate-optimal estimator of the entire quadratic covariation of an Itô-semimartingale is constructed by a locally adaptive spectral approach. Thresholding allows to disentangle the co-jump from the continuous part. We derive a feasible limit theorem for a truncated estimator of integrated covolatility which facilitates asymptotically efficient (co-)volatility estimation in the presence of jumps. A test for common jumps is presented. Simulations and an empirical application to intra-day tick-data from EUREX futures demonstrate the practical value of the approach.

Keywords: Co-jumps; Covolatility estimation; Microstructure noise; Non-synchronous observations; Truncation (search for similar items in EconPapers)
JEL-codes: C14 E58 G32 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (29)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:184:y:2015:i:2:p:361-378

DOI: 10.1016/j.jeconom.2014.10.004

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