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November 2018 Testing for simultaneous jumps in case of asynchronous observations
Ole Martin, Mathias Vetter
Bernoulli 24(4B): 3522-3567 (November 2018). DOI: 10.3150/17-BEJ968

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.

Citation

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Ole Martin. Mathias Vetter. "Testing for simultaneous jumps in case of asynchronous observations." Bernoulli 24 (4B) 3522 - 3567, November 2018. https://doi.org/10.3150/17-BEJ968

Information

Received: 1 June 2016; Revised: 1 June 2017; Published: November 2018
First available in Project Euclid: 18 April 2018

zbMATH: 06869884
MathSciNet: MR3788181
Digital Object Identifier: 10.3150/17-BEJ968

Rights: Copyright © 2018 Bernoulli Society for Mathematical Statistics and Probability

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Vol.24 • No. 4B • November 2018
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