Econometrics of testing for jumps in financial economics using bipower variationÂ
Ole Barndorff-Nielsen () and
Neil Shephard ()
OFRC Working Papers Series from Oxford Financial Research Centre
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.Â
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-fin and nep-ifn
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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 (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:sbs:wpsefe:2004fe01
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