Open Access
2018 Common price and volatility jumps in noisy high-frequency data
Markus Bibinger, Lars Winkelmann
Electron. J. Statist. 12(1): 2018-2073 (2018). DOI: 10.1214/18-EJS1444


We introduce a statistical test for simultaneous jumps in the price of a financial asset and its volatility process. The proposed test is based on high-frequency data and is robust to market microstructure frictions. For the test, local estimators of volatility jumps at price jump arrival times are designed using a nonparametric spectral estimator of the spot volatility process. A simulation study and an empirical example with NASDAQ order book data demonstrate the practicability of the proposed methods and highlight the important role played by price volatility co-jumps.


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Markus Bibinger. Lars Winkelmann. "Common price and volatility jumps in noisy high-frequency data." Electron. J. Statist. 12 (1) 2018 - 2073, 2018.


Received: 1 June 2017; Published: 2018
First available in Project Euclid: 18 June 2018

zbMATH: 06917430
MathSciNet: MR3815304
Digital Object Identifier: 10.1214/18-EJS1444

Primary: 62G10
Secondary: 62M10

Keywords: high-frequency data , microstructure noise , nonparametric volatility estimation , volatility jumps

Vol.12 • No. 1 • 2018
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