Stationary bootstrap test for jumps in high-frequency financial asset data
DC Field | Value | Language |
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dc.contributor.author | Hwang, Eunju | - |
dc.contributor.author | Shin, Dong Wan | - |
dc.date.available | 2020-02-28T02:44:14Z | - |
dc.date.created | 2020-02-06 | - |
dc.date.issued | 2016-03 | - |
dc.identifier.issn | 2287-7843 | - |
dc.identifier.uri | https://scholarworks.bwise.kr/gachon/handle/2020.sw.gachon/8497 | - |
dc.description.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. | - |
dc.language | 영어 | - |
dc.language.iso | en | - |
dc.publisher | KOREAN STATISTICAL SOC | - |
dc.relation.isPartOf | COMMUNICATIONS FOR STATISTICAL APPLICATIONS AND METHODS | - |
dc.subject | INTEGRATED VOLATILITY | - |
dc.subject | MICROSTRUCTURE NOISE | - |
dc.subject | REALIZED VOLATILITY | - |
dc.subject | DIFFUSION | - |
dc.title | Stationary bootstrap test for jumps in high-frequency financial asset data | - |
dc.type | Article | - |
dc.type.rims | ART | - |
dc.description.journalClass | 2 | - |
dc.identifier.wosid | 000408066200006 | - |
dc.identifier.doi | 10.5351/CSAM.2016.23.2.163 | - |
dc.identifier.bibliographicCitation | COMMUNICATIONS FOR STATISTICAL APPLICATIONS AND METHODS, v.23, no.2, pp.163 - 177 | - |
dc.identifier.kciid | ART002094652 | - |
dc.citation.endPage | 177 | - |
dc.citation.startPage | 163 | - |
dc.citation.title | COMMUNICATIONS FOR STATISTICAL APPLICATIONS AND METHODS | - |
dc.citation.volume | 23 | - |
dc.citation.number | 2 | - |
dc.contributor.affiliatedAuthor | Hwang, Eunju | - |
dc.type.docType | Article | - |
dc.subject.keywordAuthor | stationary bootstrap | - |
dc.subject.keywordAuthor | jump diffusion process | - |
dc.subject.keywordAuthor | ratio test | - |
dc.subject.keywordAuthor | realized variation | - |
dc.subject.keywordAuthor | realized bipower variation | - |
dc.subject.keywordPlus | INTEGRATED VOLATILITY | - |
dc.subject.keywordPlus | MICROSTRUCTURE NOISE | - |
dc.subject.keywordPlus | REALIZED VOLATILITY | - |
dc.subject.keywordPlus | DIFFUSION | - |
dc.relation.journalResearchArea | Mathematics | - |
dc.relation.journalWebOfScienceCategory | Statistics & Probability | - |
dc.description.journalRegisteredClass | kci | - |
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