Using High Frequency Data to Testing for Jumps in Processes that Model Series from the Polish Financial Market

Piotr Płuciennik ()
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Piotr Płuciennik: Adam Mickiewicz University, Poznań, Poland

Chapter 8 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2010, vol. 8, pp 113-128 from University of Lodz

Abstract: In Chapter 8, Płuciennik studied power and size of tests used in testing for jumps in financial time series. The main finding is that the results are satisfactory provided the very high frequency data is used. The empirical research has shown that jumps in processes from the Polish financial market are very common.

Keywords: High frequency data; Polish financial market; Jumps in financial time series (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2010
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