EconPapers    
Economics at your fingertips  
 

Cointegration in high frequency data

Simon Clinet and Yoann Potiron

Papers from arXiv.org

Abstract: In this paper, we consider a framework adapting the notion of cointegration when two asset prices are generated by a driftless It\^{o}-semimartingale featuring jumps with infinite activity, observed regularly and synchronously at high frequency. We develop a regression based estimation of the cointegrated relations method and show the related consistency and central limit theory when there is cointegration within that framework. We also provide a Dickey-Fuller type residual based test for the null of no cointegration against the alternative of cointegration, along with its limit theory. Under no cointegration, the asymptotic limit is the same as that of the original Dickey-Fuller residual based test, so that critical values can be easily tabulated in the same way. Finite sample indicates adequate size and good power properties in a variety of realistic configurations, outperforming original Dickey-Fuller and Phillips-Perron type residual based tests, whose sizes are distorted by non ergodic time-varying variance and power is altered by price jumps. Two empirical examples consolidate the Monte-Carlo evidence that the adapted tests can be rejected while the original tests are not, and vice versa.

Date: 2019-05, Revised 2021-03
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mst
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://arxiv.org/pdf/1905.07081 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:1905.07081

Access Statistics for this paper

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

 
Page updated 2023-07-11
Handle: RePEc:arx:papers:1905.07081