EconPapers    
Economics at your fingertips  
 

Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference

Worapree Maneesoonthorn, Gael M. Martin and Catherine S. Forbes

Papers from arXiv.org

Abstract: This paper provides an extensive evaluation of high frequency jump tests and measures, in the context of using such tests and measures in the estimation of dynamic models for asset price jumps. Specifically, we investigate: i) the power of alternative tests to detect individual price jumps, most notably in the presence of volatility jumps; ii) the frequency with which sequences of dynamic jumps are correctly identified; iii) the accuracy with which the magnitude and sign of a sequence of jumps, including small clusters of consecutive jumps, are estimated; and iv) the robustness of inference about dynamic jumps to test and measure design. Substantial differences are discerned in the performance of alternative methods in certain dimensions, with inference being sensitive to these differences in some cases. Accounting for measurement error when using measures constructed from high frequency data to conduct inference on dynamic jump models is also shown to have an impact. The sensitivity of inference to test and measurement construction is documented using both artificially generated data and empirical data on both the S&P500 stock index and the IBM stock price. The paper concludes by providing guidelines for empirical researchers who wish to exploit high frequency data when drawing conclusions regarding dynamic jump processes.

New Economics Papers: this item is included in nep-ecm and nep-mst
Date: 2017-08, Revised 2018-09
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://arxiv.org/pdf/1708.09520 Latest version (application/pdf)

Related works:
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:arx:papers:1708.09520

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().

 
Page updated 2018-09-07
Handle: RePEc:arx:papers:1708.09520