Working paper icon

Working paper

Econometrics of testing for jumps in financial economics using bipower variation.

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.

Actions


Access Document


Publisher:
Nuffield College (University of Oxford)
Host title:
Economics Group, Nuffield College, University of Oxford, Economics Papers
Series:
Economics Group, Nuffield College, University of Oxford, Economics Papers
Publication date:
2003-01-01
Language:
English
UUID:
uuid:69814686-bf28-49b0-981a-7a08317396b8
Local pid:
oai:economics.ouls.ox.ac.uk:11876
Deposit date:
2011-08-16

Terms of use


Views and Downloads






If you are the owner of this record, you can report an update to it here: Report update to this record

TO TOP