Econometrics of testing for jumps in financial economics using bipower variation

Neil Shephard and Ole Barndorff-Nielsen

No 2004-FE-01, Economics Series Working Papers from University of Oxford, Department of Economics

Abstract: In this paper we provide an asymptotic distribution theory for some non-parametric 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 behaviour. 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.

Keywords: Bipower variation; Jump process; Quadratic variation; Realised variance; Semimartingales; Stochastic volatility (search for similar items in EconPapers)
Date: 2003-11-01
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Related works:
Journal Article: Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2006)
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)
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