Identifying events in financial time series – A new approach with bipower variation
György Andor and
Finance Research Letters, 2017, vol. 22, issue C, 42-48
We present a statistical test to identify significant events in financial price time series. In contrast to “jumps,” we define “events” as non-instantaneous, but nevertheless unusually fast and large, price changes. We show that non-parametric tests perform badly in detecting events so defined. We propose a new approach to explore the dependence of jump detection statistics on the sampling method used and find that our method improves the event detection rate of the standard test by a factor of three.
Keywords: Jump detection; Event detection; Realized volatility; Bipower variation (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:22:y:2017:i:c:p:42-48
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