A bootstrap test for jumps in financial economics

Eunju Hwang; Dong Wan Shin

doi:10.1016/j.econlet.2014.08.024

A bootstrap test for jumps in financial economics

Eunju Hwang, Dong Wan Shin

Department of Statistics

Research output: Contribution to journal › Article › peer-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 language	English
Pages (from-to)	74-78
Number of pages	5
Journal	Economics Letters
Volume	125
Issue number	1
DOIs	https://doi.org/10.1016/j.econlet.2014.08.024
State	Published - 1 Oct 2014

Bibliographical note

Funding Information:
The authors are very grateful for the valuable comments of a referee which improved the paper considerably. This study was supported by the Basic Research Program ( 2012-001361 ) and Science Research Center program ( 2011-0030811 ) through the National Research Foundation of Korea (NRF) funded by the Korea government (MSIP).

Publisher Copyright:
© 2014.

Keywords

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

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10.1016/j.econlet.2014.08.024

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title = "A bootstrap test for jumps in financial economics",

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).",

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author = "Eunju Hwang and Shin, {Dong Wan}",

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AU - Shin, Dong Wan

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N2 - 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).

AB - 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).

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KW - Realized bipower variation

KW - Realized variation

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VL - 125

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EP - 78

JO - Economics Letters

JF - Economics Letters

IS - 1

ER -

A bootstrap test for jumps in financial economics

Abstract

Bibliographical note

Keywords

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