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 |
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Pages (from-to) | 74-78 |
Number of pages | 5 |
Journal | Economics Letters |
Volume | 125 |
Issue number | 1 |
DOIs | |
State | Published - 1 Oct 2014 |
Keywords
- I.i.d.bootstrap
- Jump diffusion process
- Ratio test
- Realized bipower variation
- Realized variation