- Volume 24, Number 4B (2018), 3522-3567.
Testing for simultaneous jumps in case of asynchronous observations
This paper proposes a novel test for simultaneous jumps in a bivariate Itô semimartingale when observation times are asynchronous and irregular. Inference is built on a realized correlation coefficient for the squared jumps of the two processes which is estimated using bivariate power variations of Hayashi–Yoshida type without an additional synchronization step. An associated central limit theorem is shown whose asymptotic distribution is assessed using a bootstrap procedure. Simulations show that the test works remarkably well in comparison with the much simpler case of regular observations.
Bernoulli, Volume 24, Number 4B (2018), 3522-3567.
Received: June 2016
Revised: June 2017
First available in Project Euclid: 18 April 2018
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Martin, Ole; Vetter, Mathias. Testing for simultaneous jumps in case of asynchronous observations. Bernoulli 24 (2018), no. 4B, 3522--3567. doi:10.3150/17-BEJ968. https://projecteuclid.org/euclid.bj/1524038762