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A bootstrap test for jumps in financial economics
- Authors
- Hwang, Eunju; Shin, Dong Wan
- Issue Date
- Oct-2014
- Publisher
- ELSEVIER SCIENCE SA
- Keywords
- i.i.d. bootstrap; Jump diffusion process; Ratio test; Realized variation; Realized bipower variation
- Citation
- ECONOMICS LETTERS, v.125, no.1, pp.74 - 78
- Journal Title
- ECONOMICS LETTERS
- Volume
- 125
- Number
- 1
- Start Page
- 74
- End Page
- 78
- ISSN
- 0165-1765
- 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). (C) 2014 Elsevier B.V. All rights reserved.
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Related Researcher
- Hwang, Eun Ju
- Social Sciences (Department of Applied Statistics)