Identi�cation of jumps in �financial price series

Jörgen Hellström and Carl Lönnbark

MPRA Paper from University Library of Munich, Germany

Abstract: The paper outlines and tests, by means of Monte-Carlo simulations, a simple strategy of using existing non-parametric tests for jumps at the daily frequency to identify jumps at higher sampling frequencies. The suggested strategy allow for identi�cation of the number of jumps and jump times during a day, as well as, the size and direction (negative or positive) of the jumps. The method is of importance in order to facilitate detailed empirical studies concerning, for example, causes for jumps in fi�nancial price series at �ner levels than the daily. The Monte Carlo study reveals that the strategy works reasonably well, particular for lower jump intensities. An application of the studied strategy on the Handelsbanken stock is provided.

Keywords: Financial econometrics; jumps; realized variance; bipower variation; stock price (search for similar items in EconPapers)
JEL-codes: C14 C15 G12 (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:30977

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