A bootstrap test for jumps in financial economics

Eunju Hwang, Dong Wan Shin

Research output: Contribution to journalArticlepeer-review

4 Scopus citations

Abstract

An i.i.d.bootstrap is applied for the ratio test of Barndorff-Nielsen and Shephard (2006) for jumps in jump diffusion processes. Asymptotic validity is established for the bootstrap test both under the null of no jump and under the alternative of jumps. Finite sample simulation shows that the bootstrap test has more stable size than the ratio test of Barndorff-Nielsen and Shephard (2006).

Original languageEnglish
Pages (from-to)74-78
Number of pages5
JournalEconomics Letters
Volume125
Issue number1
DOIs
StatePublished - 1 Oct 2014

Keywords

  • I.i.d.bootstrap
  • Jump diffusion process
  • Ratio test
  • Realized bipower variation
  • Realized variation

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