Bernoulli

  • Bernoulli
  • Volume 24, Number 4B (2018), 3522-3567.

Testing for simultaneous jumps in case of asynchronous observations

Ole Martin and Mathias Vetter

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Abstract

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.

Article information

Source
Bernoulli, Volume 24, Number 4B (2018), 3522-3567.

Dates
Received: June 2016
Revised: June 2017
First available in Project Euclid: 18 April 2018

Permanent link to this document
https://projecteuclid.org/euclid.bj/1524038762

Digital Object Identifier
doi:10.3150/17-BEJ968

Mathematical Reviews number (MathSciNet)
MR3788181

Zentralblatt MATH identifier
06869884

Keywords
asynchronous observations common jumps high-frequency statistics Itô semimartingale stable convergence

Citation

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


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