Testing for self-excitation in jumps
H. Peter Boswijk (),
Roger Laeven () and
Xiye Yang ()
Journal of Econometrics, 2018, vol. 203, issue 2, 256-266
This paper extends the notion of self-excitation in jumps to a rich class of continuous time semimartingale models, proposes statistical tests to detect its presence in a discretely observed sample path at high frequency, and derives the tests’ asymptotic properties. Our statistical setting is semiparametric: except for necessary parametric assumptions on the jump size measure, the other components of the semimartingale model are left essentially unrestricted. We analyze the finite sample performance of our tests in Monte Carlo simulations.
Keywords: Self-excitation; Jumps; Semimartingale; Spot jump intensity; Discrete sampling; High frequency data; Financial crisis (search for similar items in EconPapers)
JEL-codes: C12 C14 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:203:y:2018:i:2:p:256-266
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