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

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).",

keywords = "I.i.d.bootstrap, Jump diffusion process, Ratio test, Realized bipower variation, Realized variation",

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

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: {\textcopyright} 2014.",

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AU - Shin, Dong Wan

N1 - 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.

PY - 2014/10/1

Y1 - 2014/10/1

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).

KW - I.i.d.bootstrap

KW - Jump diffusion process

KW - Ratio test

KW - Realized bipower variation

KW - Realized variation

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DO - 10.1016/j.econlet.2014.08.024

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SN - 0165-1765

VL - 125

SP - 74

EP - 78

JO - Economics Letters

JF - Economics Letters

IS - 1

ER -

A bootstrap test for jumps in financial economics

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Keywords

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