Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation

Ole Barndorff-Nielsen and Neil Shephard ()

Journal of Financial Econometrics, 2006, vol. 4, issue 1, 1-30

Abstract: In this article we provide an asymptotic distribution theory for some nonparametric tests of the hypothesis that asset prices have continuous sample paths. We study the behaviour of the tests using simulated data and see that certain versions of the tests have good finite sample behavior. We also apply the tests to exchange rate data and show that the null of a continuous sample path is frequently rejected. Most of the jumps the statistics identify are associated with governmental macroeconomic announcements. Copyright 2006, Oxford University Press.

Date: 2006
References: Add references at CitEc
Citations: View citations in EconPapers (689)

Downloads: (external link)
http://hdl.handle.net/10.1093/jjfinec/nbi022 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Econometrics of testing for jumps in financial economics using bipower variation (2004)
Working Paper: Econometrics of testing for jumps in financial economics using bipower variation (2003)
Working Paper: Econometrics of testing for jumps in financial economics using bipower variation (2003)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:oup:jfinec:v:4:y:2006:i:1:p:1-30

Ordering information: This journal article can be ordered from
https://academic.oup.com/journals

Access Statistics for this article

Journal of Financial Econometrics is currently edited by Allan Timmermann and Fabio Trojani

More articles in Journal of Financial Econometrics from Oxford University Press Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK. Contact information at EDIRC.
Bibliographic data for series maintained by Oxford University Press ().