Stationary bootstrap test for jumps in high-frequency financial asset data

Title & Authors
Stationary bootstrap test for jumps in high-frequency financial asset data
Hwang, Eunju; Shin, Dong Wan;

Abstract
We consider a jump diffusion process for high-frequency financial asset data. We apply the stationary bootstrapping to construct a bootstrap test for jumps. First-order asymptotic validity is established for the stationary bootstrapping of the jump ratio test under the null hypothesis of no jump. Consistency of the stationary bootstrap test is proved under the alternative of jumps. A Monte-Carlo experiment shows the advantage of a stationary bootstrapping test over the test based on the normal asymptotic theory. The proposed bootstrap test is applied to construct continuous-jump decomposition of the daily realized variance of the KOSPI for the year 2008 of the world-wide financial crisis.
Keywords
stationary bootstrap;jump diffusion process;ratio test;realized variation;realized bipower variation;
Language
English
Cited by
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